I just made a new sketch that uses no libraries and a bare arduino diecimila.
All I do is fade up the pwm value and use analog write to pins 9, 5 and 6.
Pin 9 acts as a expected but pins 5 and 6 keep the led on constantly (at about half brightness) when I write a value of 0.
basically pwm control is acting totally differently and writing 0 does not turn off the output.
Does that give better clues?