I assume you're using Photometric lights?

Are you using these lights in conjunction with the Daylight System?

Have you selected an Exposure Preset, in the Environment dialog, which corresponds to the type of lighting you are applying to your scene, ie: Indoor Daylight or Outdoor Nighttime, etc.?

There are too many variables, and without having access to your file, it would be impossible for me to figure out what the problem is. It could be your light settings or it could be your daylight system settings or it could be your environment settings or it could be your render settings or or it could be a combination of all these things. There are entire books devoted to lighting and rendering with Mental Ray inside 3DS Max. I recommend you get one and read through it. But in the meantime, have you checked out the tutorials that ship with Max? Go to the Help menu and click "Tutorials". There is a lot of very good information right there at your fingertips.

Again, without access to your file, I can only guess at what the problem could be.

The problem with the black patches on the imported Rhino models could just be flipped polygons. Have you checked to make sure that all polygons are facing outwards?

I don't have much experience with hair and fur. I've only played around with it a couple of times to make grass.
Maybe one of these tutorials will help:
http://www.cgrats.com/realistic-grass-using-the-hair-and-fur-modifier.html
http://www.freeitsolutions.com/3ds/viewTutorial.aspx?id=4038

As for the lighting problem, I really don't know. I'm sure it's something simple, like your exposure preset, but without seeing all of your settings, I can't really say for sure. Did you get a book like I suggested? Lighting and Rendering with Mental Ray can be a little complicated. You really need to learn the basics.

There are also lots of free tutorials online: http://www.google.com/search?hl=en&source=hp&biw=1188&bih=724&q=3ds+max+rendering+tutorial&aq=1&aqi=g10&aql=&oq=3ds+max+rendering&gs_rfai=
http://www.google.com/search?hl=en&biw=1188&bih=724&q=mental+ray+rendering+tutorial&btnG=Search&aq=f&aqi=g2g-m2g-v3&aql=&oq=&gs_rfai=

fiors wrote:   any suggestions on how to flip those polys back?

Yeah, just switch to Polygon selection mode, click on the black polygons to select them and then hit the "Flip" button in the "Modify" panel "Edit Polygons" section.