MilkShape 3D (chUmbaLum sOft)
cheap shareware 3D modeler with lots of import/export plugins (can load .X files too [using "Tools/DirectX Mesh Tools" menu option])

gameSpace Light (Caligari)
3D modelling tool for games (free version imports various file formats but exports only .X files [with restriction in model complexity])

Blender 3D
a very popular, free and opensourced, 3D modelling, raytracing and animation tool & web distribution platform (has plugin that exports to .X files)

3D Canvas (Amabilis)
nice modeler, free version imports .X files, exports .POV (POV-Ray) files and saves as 3D Canvas scene files

AC3D
interesting 3D modeler, free versions imports/exports various 3D file formats, but not .X files (the registered version has extra plugins available [maybe for .X too, check their website])

gmax (Discreet)
a cut-down 3D Studio max, only supports saving to .gmax file format, but might be able to find some importer plugin for MilkShape3D or other modeler in order to export to .X or other 3D file format

Moray (SoftTronics)
a cheap wire-frame modeler for POV-Ray. Has add-on tools that convert from other file formats to .POV