I see that this format is used for some AAA FPS games. Anyone know its strengths and weaknesses? How to encode/write for it? I see that http://www.icculus.org/SDL_sound/ has support for it.

You mean the Unreal music format? It's just an S3M or IT module wrapped with a header. The guy who made the mod engine that Unreal/Mac used (Cody DW Jones) once posted an app that extracted the modules from the UMX.

You can d/l it here:

http://cdwj.org/Unreal_UMX_Ripper.hqx

It's a Classic app. Worked for me.

A new UMX decoder called UMXblu was released a few days ago: http://blufiresoftware.com/prod/umxblu/index.html (works in OSX)

EDIT: You probably know this already but, PlayerPro looks like the only (reasonable) way to create tracker music on a Mac: http://www.quadmation.com/pphome.htm