Here's a misconception I see a lot on the forums lately. There is this idea that controls on a master page should always keep their state across content pages that use it.
When you navigate away from a page (i.e. when you click a link), you go to another page, with another instance of the controls on it, so of course the new controls on the new page have no way of knowing about the state of the controls on the other page.
Having a master page does *not* mean that all the controls on the master page have a unique instance that would be shared by all pages that use this master page. The master page is nothing more than a template, it's not any kind of singleton.
So the only way you can maintain the state across different pages (whether you use a master or not) is by storing it in Session and using that information when a new page is loaded. This can have severe performance drawbacks as you store state for each user but is more or less what WebParts do with their personalization data...
Another approach is to consider that if you need to maintain state across all those pages, maybe they are the same and you need to move from a many-page model to a single-page model.
Please note that the navigation controls (a.k.a. Menu, TreeView, SiteMapPath) will automatically select the current node in the site map according to the URL you're on, giving a minimum version of this application-level state management some were expecting from master pages.