I'll see if I can track this bug down, but initial investigations haven't turned anything up.
Update: If I directly edit Normal.dot and save the result as a template overwriting normal.dot I can get my changes to stick. I suspect direct editing of Normal.dot is a workaround for issues with styles as well.
Update 3/29/2010: Jon, in comments, suggested: "hold shift while click on the "file menu". Choose "save all". I've not tried this myself; I'm on Word 2007 these days. I've also updated this post to lower my "rant level" -- I'm a mellower guy than I was 3 years ago.