This problem is addressed in ArcGIS 8.1 Service Pack 1. See the Related Information section to download this pack.
If you export a scene to a VRML file and view it in a VRML browser, the shading may look very different.
ArcScene's export doesn't specify a setting for the VRML headlight. By default, the headlight is on. Scenes don't have headlights though, so they will display differently.
Add the following to the exported VRML file: