CAD and 3D files are where engineering meets incompatibility. Every major CAD application has its own proprietary format, and exchanging files between them is an industry unto itself. The open interchange formats (STEP, OBJ, STL) sacrifice features for compatibility — which is usually the right trade.
The 3D printing world standardised on STL (triangle meshes, nothing else) decades ago, and 3MF is slowly replacing it with support for colour, materials, and metadata. The game development world uses FBX for rigged, animated assets and glTF/GLB for web delivery. Architecture and engineering live in DWG (AutoCAD's proprietary kingdom) and exchange via STEP and DXF.
The common thread is that proprietary formats preserve the most information (layers, constraints, parametric history) while interchange formats preserve geometry and little else. If you're working within one application, use its native format. If you're sending files to someone else, ask what format they need — the answer matters more here than in any other category.