The client should auto-save your UI settings (window positions and sizes, subscribed chat channels, that sort of thing). Hotbar assignments (which things are in which box) are, AFAIK, stored server-side instead of being saved in the client. If you've crashed hard (ie. had to reboot the machine via the reset button or power switch to recover), it's possible that the writes to the filesystem got lost. There's nothing the game client can do about that, it can't save anything if the OS decides that data didn't get written to disk. The only thing that helps with that is using NTFS which is better able to recover from hard crashes without losing data.
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