Had this problem today with Blender rendering only Frame 1 in spite of repeatedly baking the animation and setting the view to another frame. I had a cloth piece which was to fall freely under gravity by around frame 100 after which I wanted to render the image. But after setting it up, when I rendered it, I kept getting only the first frame.
After searching for quite some time on the net, I came across this post which suggested that the subsurf modifier should be below the cloth modifier. And it worked! Now it renders the exact frame that I select in blender.
Here’s a screenie: