Hi,
I've got the same problem. I've bought a new screen yesterday with a resolution of 1920x1080 (16:9). Before, I used a screen with a resolution of 1152x864 (4:3) but it's not an important point.
So when I ran MTA with the new screen, I've set the 1920x1080 resolution but when I restarted MTA, it sets the 800x600 resolution like other people here. I've got the same problem when I've tried to set 1600x900 and 1280x720 — these are 16:9 too. There is probably others 16:9 resolutions but I haven't tested them yet. However, I've also tested 1024x768, 1152x864 (both 4:3), 1440x900 then 1680x1050 (both 16:10) and it works. So it seems that MTA — more probably GTA SA by itself as Talidan think — can't use a 16:9 resolution.
So I've to play in 1680x1050 with two vertical black band, it's better than 800x600 but it's still a little upscaled.
I confirm also that the bug affects nVidia graphic cards, I have an GeForce 7600 Go — it's a laptop with an external screen plugged on it because its screen is dying.
I'm afraid that the problem have to be solved by using the GTA's patched version, but is it planned to do that in futur MTA's releases? I don't think so but I hope I'm wrong.