I've mostly known this :) , but here's the documentation to prove it, and to keep straight which settings are kept from creation and which are used on-the-fly.

A SQL Stored Proc keeps the ANSI_NULLS and QUOTED_IDENTIFIER settings from when the SP was created. However, other settings such as ANSI_WARNINGS, ANSI_PADDINGS are used from the current connection settings.

Transact-SQL Reference (search for ANSI_NULLS)

alternate keywords: SP storedproc sproc