Dave,
I get elevation data from this site:
http://data.geocomm.com/catalog/US/6.../group4-3.html
You can download the data for free using the green download arrows.
There's a free program called sdts2dem.exe. Use that to create the DEM file. (just copy sdts2dem.exe into the folder with the elevation files and run it)
I then use polytrans (not free) to import the DEM data, export to a 3ds, and import into max.
I think you can also import the DEM data directly to max, but it is a super heavy mesh. Polytrans does a much better job of interpolating the data into a usable mesh.
If anyone has a better/faster method than that I'd also like to know about it

Hope that helps,