The thread
http://www.alice.org/community/showthread.php?t=384 is a pretty good place to start. It's a bit outdated but not badly so - haven't had time to really do an update. If you are going to try very complicated models, also make sure you read the tutorial referenced on the Alice main page.
You didn't say exactly what you were looking for - that's probably the key to whether or not it's worth the effort to import something. The Alice gallery has about as extensive a set of 3D models as anything I've found on the web.

As an example, I Just completed a short animation for a local film festival (I'll post a link to it as soon as they get the bugs worked out of the site) - and all but 3 or 4 of the objects I used were based on things from the Alice gallery. I did do quite a bit of work on the skins/textures for the objects and deleted some parts in one case.
Note:
For the link and some more comments, see
http://www.alice.org/community/showt...=2950#post2950 .
Anything simple like chairs, pots, weapons simple vehicles and buildings, etc. are rather straightforward to import. Just start with a mesh from one of the many web sites that have such things (I prefer .obj models, because they have a text format and you can correct errors - but generally .3ds models work fine), convert them to .ase format using Biturn (
http://mirex.mypage.sk/index.php?selected=1) and import them into Alice using the import option. (I posted description of how to use Biturn on this site.) As noted in the Alice import tutorial, you do have to import textures separately - all that comes in from the .ase model is a mesh.
You can also
add simple parts to an objects hierarchy fairly simply. This is nice if you want to change the shape of a head or something similar. Don't delete the part being replaced - just set it to not showing and make it the vehicle for the new part.
More complex items are more problematic - Alice 2.0 does not support skin/armature type models (though that's coming in 3.0, I have no idea how "open" the Alice model format will be). Also surface normals tend to give me problems. especially with open surfaces. If you are going to work at that level (i.e., with complex and rigged models) a lot, I'd suggest you try something other than Alice for your animations.
Related note that may be of interest to other forum members - if you haven't tried Google SketchUp recently, but did like its interface, you might take a look at the latest version that is available free from their site. It now includes a lot of features that were previously not available, such as export to .avi format. Haven't personally checked to see if there is a simpler path to Alice than was previously the case - if someone beats me to that, pleas post what you find.

Google still has the best library of "famous" buildings around - part of Google Earth - but previously they were very hard (if not impossible - large models do give large problems

) to import.