.png .tga .dds .bmp - just pick one, they're all able to store alpha-channels
Usually, when going about previewing stuff with a viewport shader i use a .tga and .bmp to avoid compression.. If I'm working on just some random thing, then usually tga's. If I'm working with UT3, then usually .bmp's, as I don't believe UT3 is able to import .tga files.
Keep in mind however that theses images usually takes up quite a lot of space.. For UT3 they automatically get converted into dds on import I think. Atleast they use dds compression. So if you're going to use it for a game .dds and .png is the most common ones (I think)