Question: When exporting FBX from 3dsMax for use in Unity, textures always get lost. Unity does automatically import materials when it imports the FBX, but the texture files all end up empty, so you have to go in and assign each texture one by one — a huge waste of time.
Solution: In 3dsMax, give the model and its textures matching names, copy the texture files into the Unity project, and then import the FBX. That way the automatically created materials will find their corresponding textures.