Hi there,
Just some thoughts:
Make sure you don't have any odd characters in the image names.
Make sure they are not longer than 8 characters (I'm not sure this is relevant but might be)
Make sure you don't apply the textures on the back (blue) faces. You can check this by turning your render style in SU into Monochrome - if you see any back faces, it is bad.
In the Export Options dialogue, check to export texture maps
Apart from the above, when exporting texture maps, see that you have two options: preserving texture coordinates orwelding vertices. If there are no curved faces in your model, you're lucky and choose the first option. If you do, follow Chris Fulmer's tutorial quoted in this post (you may find that thread useful also).