You can have alpha transparency, but you'll have to use PNGs instead.
Depending on what graphics software you use, you'll have to save your PNG with transparency information.
I use Photoshop, and here's what I normally do:
1) Always have the master PSD file around so that if I need to change anything, the layers, transparency information etc will still be around.
2) Once I'm ready to save to the final PNG, I hide the layers I don't need and only leave the layers I want to be visible on. Also hide the background layer.
3) Save As... PNG.
Easy!
The PNG won't be paletted though, currently I don't think there's a way to save an 8-bit PNG with alpha using Photoshop.
If you're using ZIPs, then there wouldn't be much problem in getting your mod to load your graphic.
If you're using wads, import your PNG into XWE using the "Load as raw data" option. Be sure to use the latest beta of XWE at
http://www.doomworld.com/xwe/.