I have commercial and I can use alpha channel in TGA files for transparency. Just save the file as a TGA and go from there. Saving it as BMP won't work because BMP doesn't support the alpha channel. I'm completely unfamiliar with PCX so I don't know it's specs and limitations. DDS seems to support alpha channel as well, but I'm not familiar with the format - GIMP doesn't recognize DDS files.

As far as using the alpha channel for other things, that I don't know much about.

"You level up the fastest and easiest if you do things at your own level and no higher or lower" - useful tip My 2D game - release on Jun 13th; My tutorials