Some users are havving this issue. Unfortunatly i can not reproduce the problem because in may installation (from wordpress 2.8 to the actual 3.3.2) is been wordking fine, i can choose color and font size and then i click in SAVE and it saves the options.
Maybe is some brower plugin or some plugin active in your wordpress installation. To have a quick fix for this issue i would need an user and password with administrative rights in an installation this issue is happening to have a look.
However fisrt i advice you to disable and delete all the plugins in your wordpress and try again. If is some plugin and you could give its name so i can try in my installation, also that would be helpfull.
If you want to send me an user and password to have a look in your blog you could send them to me in this contact form:
https://arturoemilio.es/fomulario-contacto/