
This works with 'bones' in max with means you can not only do vertex animations but use Inverse Kinematics or base them off physics simuations of ragdoll physics.
Do note that if you go the real bone rout, you will want to give the bones names ending in __h or starting with hp_ so they don't show up in game and you will want to make some bones 'Terminators' and you will want to 'Bind Position' and 'Bind Orientation' on nearly all the bones if not all. You can do this from the Hierarchy tab on the tools panel, under IK.