I am experiencing a problem (bug?) and want to see if anyone else is getting the same behavior. In a build I grabbed this morning (r53999) I am not able to get alpha in a blender internal render.
Alpha works fine in cycles, but no alpha is working when using the internal render. (RGBA is checked) Also works fine in an older build.
Basically, the default sky now is opaque alpha, so you need to set alpha transparent explicitly through a drop-down that is located in the render/shading tab.
Here is the response in case anyone else has the same problem.
Previously you could save this way with an alpha channel, but the result would in fact give some incorrect color fringing on edges if you didn’t also set the shading alpha option, which is now required to be set.