Blender would be great just because it's so powerful, but unfortunately the interface drives me up a wall with its complexity
Wings will let you export to .3DS and .OBJ, which are easily convertible to .X, which is the format which SE5 uses. Also, Wings is designed as a low-polygon modeler, which is good, because SE5 ships shouldn't have more than maybe 1500 polygons.
There's been talk recently at the Wings forum about a plugin which would export directly to .X from Wings, but that's right now in the idea stage... it shouldn't be too hard to implement; it's just a matter of finding someone who has knowledge both of the obscure programming language (Erlang) which Wings is written in and of the .X format to actually write the plugin
If you want to use a program called Art of Illusion, I did make an .X exporter for that program, but it currently is rather buggy; I've fixed up some of the bugs and I've got the revised version lying around on my computer somewhere, so if you're interested let me know and I'll zip up the revised version and post it
edit: here ya go:
http://kolis.dyndns.org/ed/prog/exportx/exportX-1.2.zip