Why are cooked lobsters so bright and shiny. The answer? SCIENCE. Oh, wait, that's how we got the answer. :P
Evolution of a Novel Carotenoid-Binding Protein Responsible for Crustacean Shell Color. Molecular Biology and Evolution 2009 26(8):1851-1864; doi:10.1093/molbev/msp092
Carotenoids are commonly used by disparate metazoans to produce external coloration, often in direct association with specific proteins. In one such example, crustacyanin (CRCN) and the carotenoid astaxanthin combine to form a multimeric protein complex that is critical for the array of external shell colors in clawed lobsters. Through a combined biochemical, molecular genetic, and bioinformatic survey of the distribution of CRCN across the animal kingdom, we have found that CRCNs are restricted to, but widespread among, malacostracan crustaceans. These crustacean-specific genes separate into two distinct clades within the lipocalin protein superfamily. We show that CRCN differentially localizes to colored shell territories and the underlying epithelium in panulirid lobsters. Given the paramount importance of CRCN in crustacean shell colors and patterns and the critical role these play in survival, reproduction, and communication, we submit that the origin of the CRCN gene family early in the evolution of malacostracan crustaceans significantly contributed to the success of this group of arthropods.
You can read the article for free. In short, there are a class of compounds produced by shelled stuff that is part of a complex signalling that the shells do. The darker bits are for hiding, the brighter bits for communicating with their conspecifics (e.g., other lobsters). When you cook them, you nuke their ability to regulate the signalling, and the original colour comes out.