Updated June 20, 2016 – Brian from the V-Ray forum has a couple of additional features that are not supported in exporting vrscene files from Max which I’ve added to my list below.
My post about using VRay with a Linux render farm has turned out to be easily my post read post, so it’s obvious I wasn’t the only one trying to figure out this combination. That post was written before V-Ray 3 came out, so it’s time for an update.
Update 15 June 2016 –
I have a new post up that updates this information with the latest in VRay 3.0!
Update 12 November 2013 –
There’s a collection of settings in the VRay RT parameters tab (change renderer to ActiveShade mode first, which brings up the tab you need, then switch back to Production render when you’re done) that controls whether things like XRef scenes and proxies are exported. Enabling these makes a huge difference in how useful this cross-platform rendering method can work.