C++ is a compiled, general-purpose, statically typed, case sensitive programming language. It supports procedural, object-oriented and generic programming. Bjarne Stroustrup, the creator of the C language, started working on C++ as early as 1982 and it was standardized in 1998. Presently, C++ is the 4th most popular programming language in the world, trailing only Java, C and Python.
Many large applications dealing with digital content creation and games are programmed in C++ because of the performance benefits, standard library features and open source libraries available.
C++ has a learning curve, so familiarity with the language, development tools and the standard library are recommended before jumping into plug-in development for 3ds Max. C++ learning resources are plentiful, both free and professional.
3ds Max itself is written in C++, and therefore has a rich and mature C++ SDK that allows the most freedom (low level access to detailed functionality), and flexibility (widest array of plug-in types supported) when developing plug-ins.
If you are well versed in C++, Windows application development, the Qt framework, Visual Studio, and the Standard Library, C++ will most likely be your natural choice to develop extensions for 3ds Max.
Bottom line: if you are a software developer by training who is familiar with C++, want the most performance, flexibility and control over your plugin's functionality and its integration into 3ds Max, and you care about not revealing your code to your users (it's compiled to assembly), choose C++ and the 3ds Max C++ SDK.
For more information, please see the 3ds Max SDK Developer Guide.