I know im late on this conversation....
PNG's are my favorite transparent format. They have more control and do not seem to be as.. fuzzy or blocky around the edges at times as a tif or gif can be at times.
I am not sure what version of adobe photoshop you are using, but if you like, i have a modified version of the targa file that will show the transparencies instead of a white or black background. The below is for working with targa files:
I have from ps7 to cs4, but sticking with cs3. Sadly the targa fix does not work on cs4
Adobe changed the way photoshop handles targa files and the alpha channels in cs2. Do not ask me why, they said they "fixed" it. Though it was working just fine, and most of us loved the way targa format was handled (and opened up) in photoshop before, they said (on the official boards) that it was broken and not working as they had planned so they fixed it. Of course, that just messed a few people, especially the old timers that was use to the visual tga and png.
Myself, when I open up a tga or png, I like to see the transparent backgounds, not a white or black. For some reasion it really messed me up.
So.. if you are using cs2 or cs3, you can use this file. Just replace it with the one already present. Remember it does NOT work with cs4.
C:\Program Files (x86)\Adobe\Adobe Photoshop CS3\Plug-Ins\File Formats
This should help you as well somewhat. And as Tamlin said, tif, gif, tga and png's are the files that will show transparencies.
Tip: 1)Work in layers 2)Save a copy of your work with all layers (psd for me), so you can always go back and edit/adjust/change something later on.