There are several things that are important when creating a 3D Extrusions in Photoshop CS 6 Extended, the first being resolution—the higher the resolution when creating the 3D Extrusion, the better it will look. You can always down-sample the image (Image Size) after the asset(s) have been created.
Also, be sure that you are Rendering the 3D Layer before you Save for Web… If you don’t render it you don’t get the Ray-Trace image (and all that it has to offer) at all, you just get the OpenGL preview.
I hope this helps. Cheers!