I'm using MAYA 2008 Extension 2 In your viewport menu, under Shading, switch on Polygon Transparency Sorting, as opposed to Object Transparency Sorting, this will fix all your alpha problems. See Example : -
Shouldnt any 3d software have a feature like that? For an example, hair, decals, or whatever you want to do, you could set your draw whenever you want it first or last and Maya/Max/XSI could do it for you, I just think it would be much better for game development if these softwares add this feature on it. Let me know…