Just to add to this subject. I agree with everything that is said on this topic. Also new 4444 codec from Apple Motion can export a alpha channel using the millions + (for animation). Please also note targa is good to export with alpha from 3d programs, also a common for images would be tiff or tif as it is another file type that can export Alpha.
if you are working with Photoshop then use Psd or Png.
I hope this helps.