The downside of gmax is that it's no longer supported by its owners, so there will be no patches or upgrades for it, and it doesn't have all the bells and whistles that 3DSMax has (whatever they are). The upsides are that it's free and will do most of the things you need for Trainz content and there will be no patches to change it and screw it up with a new set of bugs. There are still many Trainzers around who use and maybe even prefer gmax and they can help you with the learning. You can get gmax 1.2 from the turbosquid website.
3DSMax is a full-on professional program and is still actively being developed. It costs thousands of dollars. Autodesk is the company that makes it, they probably have a website. The interface and underlying methods are similar to gmax, but just different enough to be annoying if your brain has been hard-wired to use gmax for a long time.
Some say Blender is easier if you are starting out fresh, but others dislike the way it relies on lots of keyboard commands.