Here is the problem:
I want to vary the shading on objects that are instanced to a particle system.
In Maya and Mental ray this is not easy to do. In fact I don't know of any way to do it. In Arnold, however, it is very straightforward:
1. Create your particle and instancer system as you normally would do.
2. Assign a shader to your instanced objects (not the instancer object)
3. create an aiUserDataColor node
4. type rgbPP in the Color Attr Name in the aiUserColor node
5. connect aiUserDataColor.outColor --> diffuse in your shader (or whatever channel you need it to go to)
6. type rgbPP into the Export Attributes in the Arnold section of the particle object.