MayaVi allows you to configure the lighting of the scene using a graphical utility. When the mouse is over the visualization frame of the window press the l or L key to open the light configuration kit. This will pop up a new window where you can configure as many as eight different lights. The default light is to have one light placed as a headlight. A headlight is a light that points directly ahead in the same direction as the camera. It is possible to change the position of the default light. It is also possible to turn on other lights, configure their elevation and azimuthal positions using the sliders provided, configure their intensity and color. To configure a particular light click on one of the conical glyphs that indicate a particular light. The GUI is fairly easy to follow. Experiment with it to become comfortable with it.
Note that if you save a visualization your light settings are also saved and when you reload the visualization these settings are restored.