Are you logging into live? I have the same problem with the HUD opacity changing. You change the setting while not logged in LIVE and change it again whiled logged in. Now whenever LIVE logs in it should not change the control settings to default.

For those interested, I used a program called Xmapper to map all the gamebad buttons to keyboard and mouse input. The only downside is analog movement isn't possible since the analog stick is mapped to the digital WASD keys.

Well, I came across a much better fix than mapping the gamepad to keyboard and mouse inputs: emulate a 360 controller. The result: the Fallout 3 software recognizes the gamepad as a genuine Microsoft XBox 360 controller. All it takes is copying two files into the same directory as Fallout3.exe.
I use a Logitech wired dual analog controller. The only problems I had is the game crashed since my controller doesn't have rumble (so I turned off rumble). Also, in the text files it has
A=1
B=2
X=3
Y=4
and I had to change it to
A=2
B=3
X=1
Y=4
but those were the only changes I had to make for my gamepad to run as a perfectly usable XBox controller.