I don't know if this is a bug or a feature in Mac OS X 10.7. Every time I (re)start my Mac the volume of my audio device is set to zero and doesn't remember the last level I set.
I think this started some weeks ago, maybe with a Lion update. I don't remember changing any audio-related setting.
Is this something I can change? I'm running Mac OS X 10.7.2 on a 2009 MacBook Pro which sometimes I connect to a 24" Cinema display (but it seems that the behavior doesn't depend whether it's using the laptop's or the display's speakers.)