I have made an outdoor scene in Maya 2011 consisting of a few buildings and some fields with surrounding trees to hide horizon line. I have used mental ray to light the scene so there is a physical sun and the sky looks realistic too. Also realistic shadows are cast over the scene making a very simple model (so it loads fast) look quite realistic.
I export the scene and then convert to a w3d file using 3DS Max Design 2011 for use in Director but the sky and lighting does not appear.
I have read elsewhere that the best option is to texture the model to include the shadows and such. However, I will be using animation on top of my scene and need shadows to be there, and moving with the animations.
There is also some glass and water in the scene which reflects the scene in Maya but does not work in Director. And as the user will have control of the camera the reflection needs to show the animations as well as the scene.
The mental ray effect and the use of reflections is of huge importance to my project and so any help or advice is much appreciated.
Baking your textures is the only way I can think of here (plus a few tricks), just remember to bake without the shadows that's going to change in your animation. Those shadows you'll have to simulate with a baked shadows on planes, alternatively a flattned version of the shadowcasting object ( http://www.inludo.com/developments/tuts/shadows01.htm ).
As for the sky, use a skybox (http://www.inludo.com/developments/tuts/skybox01.htm)
As for reflections this can also be faked with geometry by using duplicate models under the reflective surface, you can also use another 3d sprite with dts turned of and grab the image of a camera (pointed towards your current camera) and applying that image to the appropriate surfaces (http://necromanthus.com/Games/ShockWave/tutorials/Mirror.html). A method I haven't tested but I belive will also work and might give a better performance is to have two cameras rendering to the same sprite. You can get a start at it here http://homepage.mac.com/nephilim/sw3ddev/multiple_cameras.html.
You might also want to look at http://www.robotduck.com/content/articles/director/3d/alphaReflections/index.htm if you don't need to detailed reflections which could be usefull for surfaces far from the camera for example.