for game art a lot of people have been pushing viewport shaders and model viewers as being more practical, but it's still nice to learn a little more about Max mr. for a project I actually ended up using scanline instead because i realized how little i knew. I just couldn't stand not having my catmull-rom antialiasing and light tracer... silly :C
You don't need light tracer with VRay/MRay/FinalRender/Etc. though. They all have light bouncing and global illumination, final gather, or something similar which can use objects or images as lighting for your scene. They also tend to render faster with better results than using scanline with light tracer.
Oh yeah, I know. Viewport compatable realtime shaders are basically the only thing people will really be using if their working on something that's going into an actual engine, but as far as portfolio demo stuff is concerned, it'll look better if you can render something nice and pretty. And that's why I made the effort to try figuring out some mental ray stuff.