I encountered this same problem while working on the chapter 12 (Nib Files and NSWindowController) exercise in Aaron Hillegass's Cocoa Programming for Mac OS X book. Doug's answer above was the solution - I hadn't linked the window outlet of the Preferences.xib's file owner to the window itself (in this case the Panel (Preferences) window).
I right clicked on the "File's Owner" in the Preferences.xib file then left-mouse-button dragged from the Window outlet to the Panel (Preferences). Once done and rebuilt the application worked as intended. I could close and reopen the custom preference panel and my previous settings were still there (since the preference window is not unloaded just hidden).
Thanks Doug!