Every time I exit the game, the settings I selected change to the default when I start it up again. Any way to save them?

The standard question: are you on PC or console? If you're on PC you can open your console (hit the tilde key ~) and type: saveini. I often have to do that at least once per game myself. The music volume seems to be the thing that gets reset most often in my game.

If you're on Xbox or PS3, I don't know. Someone who knows something about consoles will have to answer that.

The game won't save its settings if you crash on exit. You can use the Fast Exit OBSE plugin, or the afore-mentioned SaveINI command will suffice.