What CAD file format is the right one?

From the user's point of view, the right format is the one you use in your CAD. And as the most used CAD application in the world is AutoCAD - and as most other CAD applications can read DWG - the right format for you is probably DWG. The textual version of Autodesk's DWG file format is DXF - and this well documented format is readable for virtually any CAD software.

For 3D CAD data there is no single prevailing format. Of course, DWG often carries 3D data; in mechanical industry, the most widely used 3D software is Inventor with its IPT/IAM format, there are libraries (entourage, gaming models, cars...) based on 3D Studio old 3DS format or new 3ds max format MAX. But the safest way for sharing 3D data is one of the neutral data exchange formats - STEP or IGES. For BIM data in AEC industry you can find many sources of RFA (Revit family) block libraries.

If you have found a block in a different format than that of your CAD application, you can still use some conversion tool to convert the CAD data to the requested format. The safest way in this case is to use an import (or conversion) function directly in your CAD application, or to use the original CAD application to re-save the data to a neutral format (e.g. Revit to open a RFA file and save it to DWG). There are also standalone general CAD conversion tools and web services but the results of such conversions are not always perfect.