Title says it all. There's the option to watch a thread and to pin a thread at the bottom of every topic, but if you try to pin something (and you aren't a mod, I assume), it will switch to saying "pinned" but when you refresh the page it's back to "unpinned."

Should we be able to pin topics for ourselves? Say I always want to see a couple other people's blogs who I follow at the top of the Art Blogs page, I could pin the topics for my account.

Yep you should! This is a bug, will be worked on today!