Here's a tutorial on how to transfer a model from max to mudbox 2.0, export a mesh and a displacement map, and then render it in max using a bunch of different displacement methods (depending on what renderer you want to use). The max version I'll be using will be max 2009, but the process is quite similar for any recent version of max.

• Scanline Displace Modifier
  
• Mental Ray

• Make Your Mesh in max. I created a simple sphere with a radius of 45 and 32 segments.
  
• Make sure the "Generate Mapping Coords" is on. Or if you have a more complex object, create good uvs for the object using the UVW Map modifier and/or the Unwrap UVW modifier.
  
• Export Selected, choose obj, use the mudbox preset...

• Open Mudbox
  
• File -> Import, choose your obj file.
• Subdivide Selection 4 times.
• Displace your mesh using various brushes

• Step Level Down three times (go to the Level 1 Subdivision Level)
• Select The Object in Object List
• Mesh -> Recreate Level UV's. This is a very important step, so don't miss it.
  
• File -> Export Selection, save as obj. You may ask, why are we exporting a level 1 mesh, and not the original level 0 mesh? In general, I have found using the level 0 mesh doesn't give you enough mesh detail to allow the displacement map to do its job. The more detail in the actual mesh, the less detail your displacement map has to provide, and the better the final result. However, the more detail in the actual mesh means higher polygon counts in your 3d app's viewport, so there's a balance to be struck here. You don't want to export a level 6 mesh if your final mesh is a level 7, that will probably be way too many polygons to navigate properly in the 3d app, even though the final rendered result will look almost identical to the one in mudbox. So I generally export the low poly mesh at either a level 1 or 2, in an attempt to add more mesh detail without going too far.
  
• Step Level Up three times (go to the Level 4 Subdivision Level) (You must be at the top level if you want to export the top level displacement map)
• File -> Import, load the obj you just created.
• Maps -> Extract Texture Maps -> New Operation. See the dialog below.

• Choose Displacement Map.
  
• Select your Level 1 Model in the Object List, hit "Use Selected" in the Target Model section.
• Select your Level 4 Model in the Object List, hit "Add Selected" in the Source Model section.
• Search Distance. This should be the same as the highest value you've displaced your mesh (The "Best Guess" that mudbox picks is generally a good starting place). Setting this right mostly involves trial and error, you'll want this number to be as low as possible, but not so low that you miss the peaks of your displacement. Basically the highest and lowest points of your displacement get missed with a search distance that's too small, so you'll see neutral grey dots at your peaks and valleys (see the image below). I generally start small, render some test displacement maps, and I keep increasing it until the artifacts go away...
  

• The size of your bitmap. The higher the better, although the higher the more memory the map takes. 1 to 4k is a good value depending on how close you're getting to the mesh, and how much tiny detail you've added.
• Click the folder icon, and choose a name and filetype for your displacement map. I used a 16-bit Black And White Tiff. But if you don't have too much detail, 8bit may be ok. A higher color depth means a smoother displacement map (since it has more values of grey), and hence a better representation of your displacement, which is why I chose 16bit. Note: If you choose a 32bit floating point image, export to a 32-Bit FP Tiff. Do not export to a 32-Bit FP Black and White Tiff, as this format is not supported by max.
  
• Hit Extract
  

• Import the obj file of level 1 that you created in mudbox into max.

• Convert To Editable Poly

• Apply a Material that has a diffuse color of 128,128,128 (mid gray)
• Apply a Turbosmooth Modifier (Turbosmooth takes up way less memory than Meshsmooth, so for high subdivision models, using turbosmooth is a must to conserve memory), set to iterations 3. 3 is the number of iterations between you level 1 mesh and your level 4 displacement map. So if you subdivided your mudbox object to level 6, and exported a level 2 obj file from mudbox, you'd want to set this value to 4.
• Apply Displace Modifier to the object.
• When using an 8bit or 16bit image, in the Displace Modifier, Strength is set to whatever the difference between your two range values were. In this example, the range was -3.998 to 3.998, so set the strength to 7.996. If you chose a 32-Bit FP image, then leave this value at 1.
  
• When using an 8bit or 16bit image, click on Luminance Center, make sure center is at 0.5. If you chose a 32-Bit FP image, then leave this unchecked.
• Click on "Use Existing Mapping".
• Choose Map, choose Bitmap map type, then hit cancel without selecting your bitmap from the file dialog.
  
• Open an instance of the map inside the material editor, and set the Filtering to None. When the displacement map is calculated inside mudbox, it goes through a filtering process to achieve the final result. Then when the geometry gets displaced in max, that geometry gets filtered as part of the standard renderer antialiasing process. If you turn on the image filtering as well, you're basically filtering the bitmap a 3rd time, which may make your final result blurrier than the result inside mudbox. But in some cases, especially if you have a lot of high contrast detail, you can play with turning this setting to "Pyramidal" or "Summed Area" and see if it helps remove any artifacts. But I've had more luck keeping it off. Note, if you chose a 32-bit FP image, not turning Filtering to None will usually result in an out of memory error. So make sure to turn this to None before selecting your displacement map.
• In the bitmap, select your Displacement Map that you wrote out of mudbox.
  
• Render in Scanline

• Under Render, Assign Renderer, Production, choose mental ray Renderer.
• Apply a Turbosmooth Modifier (Turbosmooth takes up way less memory than Meshsmooth, so for high subdivision models, using turbosmooth is a must to conserve memory), and set to iteration of 1. I've found that this can sometimes help with a smooth displacement map in mental ray.
  
• Create an Arch & Design Material, assign it to your object.
• Set Reflectivity to 0.
• When using an 8bit or 16bit image, Under Special Purpose Maps, set your Displacement Value to whatever the difference between your two range values were. In this example, the range was -3.998 to 3.998, so set the strength to 7.996. If you chose a 32-Bit FP image, then leave this value at 1.
• Choose Map, choose Bitmap map type, then hit cancel without selecting your bitmap from the file dialog.

• Set the Filtering to None. When the displacement map is calculated inside mudbox, it goes through a filtering process to achieve the final result. Then when the geometry gets displaced in max, that geometry gets filtered as part of the standard renderer antialiasing process. If you turn on the image filtering as well, you're basically filtering the bitmap a 3rd time, which may make your final result blurrier than the result inside mudbox. But in some cases, especially if you have a lot of high contrast detail, you can play with turning this setting to "Pyramidal" or "Summed Area" and see if it helps remove any artifacts. But I've had more luck keeping it off. Note, if you chose a 32-bit FP image, not turning Filtering to None will usually result in an out of memory error. So make sure to turn this to None before selecting your displacement map.
• In the bitmap, select your Displacement Map that you wrote out of mudbox.
• When using an 8bit or 16bit image, under the output panel, set RGB Offset to -0.5 (this sets a value of grey to be no displacement). If you chose a 32-Bit FP image, then leave this value at 0.

• Open the Render Panel, go into the Renderer Tab, under Shadows & Displacement.
• Change Edge Length to 1 or lower.
  
• Max Displace should be 3.998, or your highest Displacement amount if there are multiple displaced objects in the scene.
  
• Under Max Subdiv, choose the third item in the list, or a value of 64. 3 is the number of iterations between you level 1 mesh and your level 4 displacement map. So if you subdivided your mudbox object to level 6, and exported a level 2 obj file from mudbox, you'd want to set this value to the 4th option in the dialog, or 256.

• Render