"here is a quick tip on how to get Vray to render out mutli-channel exrs and how to get After Effects to read them. If you dont have Vray, you can download the exr used in this tutorial here."
Vray EXR Tip from chad smashley on Vimeo.
Note: Background on the EXR format can be found at fnord software in ProEXR ships with After Effects CS4, in the Lutz Albrecht article on Adobe Developer Connection, Integrating 3D applications with After Effects – Part 2: Working with mattes and channels, and in the AE Help doc About 3D Channel effect.
Update: Ruff's Stuff posted Vray Elements in After Effects in January 2011.
Update: (December 2011) there's more on 3D workflow with Max & AE at Steve Forde at Adobe.