Not sure what Mac device you are on, or what OS you are running, ?? Good info to add every time you have a answer | . . . . But you could try and repair your Disk Permissions, by either booting into the Install DVD or into the Recovery Partition, and when there go to the MenuBar and select Utilities then Disk Utility Once it opens, select the Macintosh HD or your HD in the left column, then First Aid tab at the top and finally the Repair Disk Permissions down the Bottom.
Let it do what it has to do, and it might take a while if you haven't given your Mac a clean in a while, but when finished (don't worry about the errors as this is normal) restart booting into the OS and see what happens.
Sometimes, you could get a corrupt file, and if this happens, it could be stopping it 'saving' the App status, and hence every time time you start, you are back to the default.
If this doesn't work come back and then we will try something different.
If your in Lion 10.7 and above boot into recovery partition by holding down ⌘ and R together while powering on, or the ⌥ (Option) key and then select the Recovery Partition. Either way will work.