Well, the best program in my opinion is 3DSMax (I tried out a few of them, I liked it best). But there are some issues with compiling animated half-life .mdls from 3DSMax so if you use it, you'll need both 3DSMax and Milkshape (if you're not going to animate your models, then 3DSMax will do fine).
One more thing is it's not free (I guess you could download it via torrent if you don't care about anti-piracy laws).
In any case this is a decent tutorial to get you started in modelling.
...and that's the bottom line because Mate de Vita said so.
