wordPress does this by default. you can either use a plugin such as:
http://wordpress.org/extend/plugins/advanced-excerpt/
http://wordpress.org/extend/plugins/the-excerpt-re-reloaded/
or write your own functions to remove the default filters from the_excerpt() such as:
http://bacsoftwareconsulting.com/blog/index.php/wordpress-cat/how-to-preserve-html-tags-in-wordpress-excerpt-without-a-plugin/