Exporting takes your 3D data from Blender and restructures it so that other 3D programs can understand it. There are two primary reasons why you'd might want to export to a 3D file format other than Blender's .blend format. The most common is to do additional editing in another program. For example, if you're working as a modeler on a large project, chances are good that whoever hired you, unfortunately, is not using Blender, so you'll probably need to save it in a format that fits into their pipeline and is understood by their tools.
The other reason for exporting is for video games. Many games have a public specification of the format they use for loading 3D data. Blender can export in many of these formats, allowing you to create custom characters and sets.
With only a few exceptions, all of Blender's exporters are scripts written in the Python programming language. Although all the export scripts that ship with Blender support the basic specifications in their respective formats, they may not support all the features. For example, many of the exporters have difficulty getting armature or animation information out of Blender. So keep this limitation in mind and, as many open source programmers like to say, “Your mileage may vary.”
To export to a different format, choose FileExport and choose the format that you would like to use. A File Browser ...