Well, here's my theory:
You know how finding Missigno. messes up your Hall of Fame? I think it does that even if you don't save. Well, when you encounter Missingno., I beleive it saves the glitched-up hall of fame. I think. That's just my thoery.
Do you bury me when I'm gone?
Do you teach me while I'm here?
Just as soon as I belong
Then it's time I disappear
Lyrics from Metallica's new song "I Disappear"