Like iclosem suggested are you in the html tab or the visual tab?
Also, I've had instances with Wordpress where if I drop something into the html tab, then go over to the visual tab and adjust something in that then save it, it will screw it up and set it as though I had only pasted it into the visual tab...
So, that may also be a consideration if you are trying to use both the visual and html editor... The only way I found to fix that was to copy and paste it back into the html editor, and not use the visual editor on it again...