This problem is addressed in ArcGIS 8.1 Service Pack 1. See Related Information section to download this pack.
VRML export headlight is on by default. This can make a VRML browser display the data differently than it appears in ArcScene.
The current version of the software does not overtly do anything with the headlight. The VRML default for many browsers is 'On'.
If you want to persist the headlight info in the *.wrl file, add the following in the exported VRML file: