I prefer 3DS Max, if you are a student you can get a free copy of that for 3 years. Blender is nice too, all depends on your personal preference.
XNA takes .x or .fbx formats. MAX doesn't natively export .x (there are exporters you can download for it, but no importers to my knowledge), so I just work in .fbx. Not sure what all Blender supports, been a few years since I've looked at it.... but I'm sure it exports .fbx at least.
Once you have them exported properly, you can send them through the content pipeline like normal. People will tell you a bunch of different programs, I think you just need to get out there and play with them yourself and find one that best suits you.