It works for me~.
check your login.sql or glogin.sql in $ORACLE_HOME/sqlplus/admin 
aNy explicit NLS settings in these files will reflected in your sqlplus session.
also check for any database startup triggers that may have these settings.
--
-- before changes.
--
bash-2.03$ sqlplus mag/mag

SQL*Plus: Release 9.2.0.4.0 - Production on Tue Nov 9 07:59:52 2004

Copyright (c) 1982, 2002, Oracle Corporation.  All rights reserved.

Connected to:
Oracle9i Enterprise Edition Release 9.2.0.4.0 - 64bit Production
With the Partitioning option
JServer Release 9.2.0.4.0 - Production

mag@mutation_mutation > select sysdate from dual;

SYSDATE
---------
09-NOV-04

--
-- Now i added this entry to my init.ora
-- SHutdown and start again with tHIS init.ora
-- YOU can see the NLSdateformat is ALL set.
bash-2.03$ cat initmutation.ora | grep nls
nls_date_format='YYYY.MM.DD HH24:MI:SS'

bash-2.03$ sqlplus "sys/sys as sysdba"

SQL*Plus: Release 9.2.0.4.0 - Production on Tue Nov 9 08:02:34 2004

Copyright (c) 1982, 2002, Oracle Corporation.  All rights reserved.

Connected to an idle instance.

Enter value for gname: mutation
mutation > startup open pfile='initmutation.ora';
ORACLE instance started.

Total System Global Area  286755168 bytes
Fixed Size                   731488 bytes
Variable Size             167772160 bytes
Database Buffers          117440512 bytes
Redo Buffers                 811008 bytes
Database mounted.
Database opened.
mutation > select sysdate from dual;

SYSDATE
-------------------
2004.11.09 08:03:13

--
-- NOw create a an spfile from this pfile.
--