blender-models.com/
has a bunch of sutff you can feely download, and convert to whatever format you want in Blender.

But, really your only option for model formats specific to D3D11 is SDKMESH. Which is not really a model format that you would want to use, and as far as I know it does not support animation data.

To import something like a COLLADA model or 3DS model that does support animation data, you'll need to either roll your own importer based on the file format, or use something like ASSIMP.

I've just started wiring up my own engine to use ASSIMP, and it seems pretty straight forward.

I also have used ASSIMP and it is great, it lets you take any supported 3D format and convert it into your own custom format with relative ease.