Just what the subject says.
Every time I start up the game, I get the little blue Video setup box, and I have to reset all the video options. Then I get into the game proper, and all my key bindings are set back to default, and I have to set those back up again. Interestingly enough, my actual saved games are fine and I can continue from where I left off no problem, but having to reset up all the other options every time I play is getting annoying.
I'm running Windows 7 x64, with an nVidia 9800GTX+ video card

Bizarre... I did what you suggested, and it did in fact save the settings.. however, my saved game was now missing.
So I went back in again, this time as without checking Run as Administer, and the save game came back, but the settings were still saved.
So I guess I have to run as admin if I want to change the settings, and run normally otherwise.
Regardless, it seems to be working OK now.

The saves you made before checking the 'Run as Admin' on the checkbox were probably being stored outside the game folder, as Vista and Win7 are really touchy about creating or changing files that are inside the Program Files folder, and that's why the settings weren't being saved.
In any case, you'll probably find your 'old' saves in
C:\Users\<user>\AppData\Local\VirtualStore\Program Files (x86)\GOG.com\BloodRayne
The AppData folder might be hidden by default, so to look manually for the saves you'll probably have to go into folder options and tick the checkbox for 'Show hidden folders, drives and files'.