Indeed. Most games have proprietary file formats of some sort or another. Usually the trick isn't building the data, it's figuring out how to shoehorn it into the engine.
I haven't done anything for GTA, so I don't know, but for a lot of other games you can find command-line converters that will take various file formats--commonly OBJ, 3DS or .X, all of which AC3D supports--and convert it to game format. Many smaller games and XNA games will load .X files natively.
Blender makes me insane, but I also do as Dennis suggests, and use it for file conversion sometimes.
I know this isn't an option for everyone, but if you have some programming skills, writing plug-ins for AC3D is pretty easy and virtually all the data is exposed. Many file formats are publically documented, so writing an exporter is another good alternative.