Then you likely aren't doing a HARD reset. There is also a soft reset, that doesn't destroy any data or settings. This is essentially the same as turning the phone all the way off, and then turning it back on.
Reboot- You have control over the phone. hold down power until swipe down to power off is seen. Swipe down. Wait till phone is totally off. Turn on by holding down power till you feel a vibrate. Then let it get back to the lock screen. You don't loose anything.
Soft Reset - The phone is locked up, won't respond. Touches don't do anything, phone won't power up with a tap or a hold on power, if seemingly off. Hold down power and volume down for at least 10 sec. Phone should eventually vibrate, and boot back to the
lock screen. Shouldn't loose anything. It's like hitting the reset button on a PC.
Hard Reset - This results in a factory fresh phone, like it came out of the box. You will get to do the initial setup all over again. This is holding power, volume down AND Camera button, from an off condition. This is a way to get out of a forgotten lock
PIN, or a very severe software issue, like you got something that keeps relocking the device up after a soft reset. This is distructive, in that you will loose everything that hasn't been backed up or sync'd off the phone. Re-setting up the phone with the
same Live-ID will restore all you data, and allow you to re-install all purchased apps. This is like reformatting the hard drive and re-installing the OS on a PC.