You'll need to export your tree as an FBX file, but there are further important requirements that you need to stick to in order to have the terrain engine accept and use your tree correctly.
See this manual page, which gives a lot of detail about using trees with Unity's Terrain engine:
Specifically (near the bottom) it says:
Every tree should consist of a single
mesh with two Materials. One for the
trunk and one for the leaves. For
performance reasons, triangle count
should be kept below 2000 for an
average tree. The fewer triangles the
better. The pivot point of the tree
mesh must be exactly at the root of
the tree, that is at the point where
the tree should meet the surface it is
placed on. This makes it the easiest
to import into Unity and other
Trees must use the Nature/Soft
Occlusion Leaves and Nature/Soft
Occlusion Bark shader. In order to use
those shaders you also have to place
the tree in a special folder that
contains the name "Ambient-Occlusion".
When you place a model in that folder
and reimport it, Unity will calculate
soft ambient occlusion specialized for
trees. The "Nature/Soft Occlusion"
shaders need this information. If you
don't follow the naming conventions
the tree will look weird with
completely black parts.
Hope this helps!
Mar 10 '10 at 12:13 PM