I've used both GMAX and Blender, creating items for TRS2004-TS2010 and seen a lot of newbies get frustrated using both.
GMAX can be used to create content that runs in TS2010 however although the newer graphic cards and TS2009/10 does better support for normal mapping GMAX in its normal configuration does not support it.
As the complexity of the models increases Blender is easier to work with. GMAX does have an undocumented system feature such that it sometimes corrupts the model on saving or doesn't save. The bigger and more complex the model the more likely you are to hit this.
Trainz works best with fewer texture files. UV mapping is one of the most complex bits to do with GMAX, many models just use a single texture file for a face, you don't need to do the UV mapping part in quite the same way, but each person who runs the model suffers as more resources are used than need be.
On the GMAX side there are a number of tutorials such as Tafweb's bank and the community has had some experience with them so can point in the direction of ones that work. Blender has fewer tutorials but certainly the one I wrote here
http://en.wikibooks.org/wiki/Trainz/Tutorial_for_Blender#Newcomers_start_here is in wiki format so can be clarified if need be and it builds on a single model. A moving house on the track might not be ideal but it does show you the differences needed to create a wagon.
Blender was developed in house by a company that went under. It was made to be productive. I can do things much faster in Blender than I ever could in GMAX. It is fairly simple to copy in an existing model into Blender.
So if you are content to make simple low end scenery content GMAX will work. Even then if you want to make content such as
Hotel Railway 09 Blender is a better choice. If you think you may wish to move on to making more complex items then I really think Blender is a better starting point. Note that Whitepass, Paul Hobbs, Konni and myself are among the creators who have moved on to Blender from GMAX. I do not know of any experienced creators who have started in Blender then moved onto GMAX, which tells its own tale.
Both products have far more features than you need and one problem is picking out the ones you do need. So stick with Trainz specific tutorials or tutorials mentioned in the wiki.
My personal view is Blender is easier to pick up than GMAX from scratch, which means more chance of a finished model which might even be something I like. The forum is too full of part built models that have been abandoned, its a waste of time.
Cheerio John