There is no "best format"; there is only varying levels of annoying.
Collada does pretty much everything you could possibly want to do, at the cost of doing everything you don't want to do as well. This makes it a useful interchange format, but not something you should probably be looking to load directly into your game.
FBX isn't quite as widely supported, being a proprietary format. And it's... a proprietary format, but at least the format specification is available.
Most game developers need to massage the data, whatever the kind, into something their game can load and throw onto the screen as fast as possible. Therefore, most game engines that support the interchange formats will use an off-line tool to transform them into their game-specific formats.
And that's generally a good way to work. You have a good separation of code: the code that massages the data is separate from the code that loads it into your game. You get fast loading performance, while still having the ability to format the data as you need for maximum speed and use. And you still can see what the data looks like in your original exported file format, which is generally some kind of text file.