This problem is addressed in ArcGIS 8.1 Service Pack 1. See the Related Information section to download this pack.
ArcScene can take a long time to exit when there's a lot of data in the scene and/or many layers.
There are two possible causes:
One is the 'Save thumbnail image' option. When turned on ArcScene rerenders all the data to an off-screen rendering context to create the image thumbnail. This can take a long time when a lot of data is present in the scene.
The other cause is when there are many layers present and the TOC refreshes excessively.