Different file format may contain different type of geometric information and they are then suitable for different use.
some standard formats, like DXF (Drawing Interchange Format), have been developed to support 2D file exchange. So, don't expect this type of format able to represent 3D geometry.
(see http://en.wikipedia.org/wiki/AutoCAD_DXF for dxf format explanation)
some standard formats, like WRL and STL, have been developed in order to represent tessellated models. A tessellated model is a mesh of adjacent planar polyhedrons, that is required by the software graphic libraries in order to render a 3D geometric model on a screen.
The advantage of such type of simplified geometric models, is that they does not require to deal with complicated mathematics for their representation.
Tessellated models can be used by different applications, like 3D printing; in this case, you should be aware that your model is "waterproof" (i.e. the polyhedrons are correctly adjacent one to the other); you must check the model quality before saving the model, by using the analysis tools provided by your CAD system.
Here you can find STL format specifications: http://en.wikipedia.org/wiki/STL_%28file_format%29
the most common standard formats to exchange 3D exact geometry models (i.e. models with Spline and NURSB curves and surfaces) are IGES and STEP.
Even if both formats are able to represents both surfaces and solids, it is usually more convenient (i.e. easier) to use STEP format when you need to save a solid model.
The IGES format is very versatile but it can be difficult to set all the format option in the most appropriated way, in respect to the type of model to be saved.
Both saving and opening commands, available in the CAD systems, usually provide options to set the saving and loading format parameters.
The following figure shows the IGES options panel in CATIA
The following figure shows the STEP options panel in CATIA