What model extensions are valid in XNA? I know it supports
.fbx, for example.
XNA ContentManager can parse ".x" and ".fbx" files. More information can be found here: http://msdn.microsoft.com/en-us/library/bb197848.aspx
By default DirectX can parse ".x", ".sdkmesh", and ".obj" but of course you can write your own parser for any model format or find one online.