In the VSE, I have a scene strip, but I cannot change the opacity. It just snaps back to the last value it was keyframed at as soon as I alter it.
(Blender 2.69)
This is already a known issue that is on the To Do list for the VSE. I'm posting this Q&A because it took me a long time to come across the solution.
As explained in the above bug report, in order to keyframe a scene clip, you must turn off the preview.