We present a novel method to compute anisotropic shading for direct volume rendering to improve the perception of the orientation and shape of surface-like structures. We determine the scale-aware anisotropy of a shading point by analyzing its ambient region. We sample adjacent points with similar scalar values to perform a principal component analysis by computing the eigenvectors and eigenvalues of the covariance matrix. In particular, we estimate the tangent directions, which serve as the tangent frame for anisotropic bidirectional reflectance distribution functions. Moreover, we exploit the ratio of the eigenvalues to measure the magnitude of the anisotropy at each shading point. Altogether, this allows us to model a data-driven, smooth transition from isotropic to strongly anisotropic volume shading. In this way, the shape of volumetric features can be enhanced significantly by aligning specular highlights along the principal direction of anisotropy. Our algorithm is independent of the transfer function, which allows us to compute all shading parameters once and store them with the data set. We integrated our method in a GPU-based volume renderer, which offers interactive control of the transfer function, light source positions, and viewpoint. Our results demonstrate the benefit of anisotropic shading for visualization to achieve data-driven local illumination for improved perception compared to isotropic shading.