Im guessing that you have some sort of external device, headphones, keyboard, etc. that is overiding your settings.
I once had a set of headphones with an inline mike mute button and volume control. The volum control got stuck at 'lower volume'. Everytime I set the volume at the desktop it would start sliding back down to zero. Damn near pulled my hair out trying to figure out why untill I un-plugged the headphones... and ta da !
