There's also some good info on the TAO wiki- if anyone finds an inaccuracy, please fix or tell me: http://tech-artists.org/wiki/DirectDraw_Surface http://tech-artists.org/wiki/Normal_map_compression
As mentioned already, it depends on the Tech. For instance, in the Source engine, it's possible to use the alpha channel of the diffuse map for transparency, and the alpha channel of the normal map for specular.
Transparency is pretty engine specific. You can normally plug in a separate image or use the alpha. As EQ pointed out there could be pros and cons to doing either but it can be done with most tech.
that totally depends on what your target tech does with the alpha channel, you could store whatever in it and just put the alpha on another channel of one of the texture maps associated with your shader.