Google Sketchup is about the only 3d cad program I can use, because I suck. Do any 3d engines natively import Sketchup models? Are there any major caveats when doing so?
Sketchup can export to Collada (.dae) which I know is readable by Unity. Sketchup Pro will export to .3ds, .dxf, .fbx, .obj which gives you plenty of options for other engines.
That said the automatic triangulation in Sketchup can sometimes create some weird topography. Not that big a deal if you just want to import some shapes, but if you are doing mesh collision it can lead to unexpected behaviors.