this is a common issue that's always happened with stratocaster style guitars. it has a lot to do with the angle the string takes to the nut and down to the string retainer (the little metal thing between the tuning peg and the nut). when you bend the string you're actually changing the tension on the string retainer and if you have a vintage style retainer (just a flat stationary piece of metal) the string binds on the retainer and doesn't return to it's original position. you can fix this by buying a rolling string retainer... check out www.stew-mac.com they'll probably be like 8 bucks or something...

the other issue could be that you're using a guage of string that is heavier than your nut is slotted for. this can cause the string to bind at the nut.

let us know what kind of guitar it is and i'm sure we can pin point a better solution.