What do you mean "export to asset"? An asset is any individual "thing" in Unity, you can't export to that. A prefab is a predefined hierarchy of assets, a package is a selection of assets you can export and import from the Unity editor, and an AssetBundle is a collection of assets you can export/load/stream on-the-fly during game mode and in builds.

To answer your question - as far as I understand it - just right click on your scene in the Project tab, and select "export to package", it will automatically select all dependencies, i.e. stuff that this scene uses/references (although it will not include base classes of used scripts).

To get a selection of dependency assets via (editor) script, supply the asset path of your scene to AssetDatabase.GetDependencies().

EDIT: argh, somebody bumped this ancient question. Well, I hope at least my answer helps him...