Well, Warcraft 3 does it every time. Which doesn't support my native 1680x1050, so I play it at 1600x1200 (I think). Strange that it doesn't make the desktop resolution change until reboot.
Another one that did it is the warhammer online demo. When I first booted it up it had a much lower resolution. First time I rebooted computer my desktop was at like 1024 x 768 or something. Next time I entered game with my normal resolution, and whne I rebooted my comp it didn't change it.
Interesting - i'm clueless.