If you have Photoshop (atleast with CS5), you can create alpha skins very easily and so far I never have problems with them in .png format. Photoshop doesnt ask for which 24bit or 32 bit here, so I dont know for sure which bit format it is. But it works perfect with add layer mask.

Before I used .tga 32 bit too, but I had sometimes errors which I never have with .png (but maybe that was because I used Paint Shop Pro 9 than instead of Photoshop). And .tga is also very big (filesize), IIRC .png is more optimized.