STEP and SAT are far more rigorously adhered-to standards than IGES. When exporting from your mechanical package, if you have a choice choose STEP or SAT instead of IGES.

STL is often overlooked. STL files are used in rapid prototyping, and they use a tri-mesh representation. Therefore STL objects are faceted, not smooth (NURBS) entities. In ZEMAX STL files are read in via the STL object, whereas NURBS (IGES, STEP, SAT) files are read via the Imported object.

Because STL objects are always faceted, they are fast to ray-trace. If your object contains many flat faces, consider using STL. Also, if you are mainly concerned with opto-mechanical stray light, STL is fast and effective. There is no point in computing ray-object intersections to exquisite precision, and then computing the surface normal to equally exquisite precision, if we then randomize the departing direction cosines with some scattering function!