Transparent images

Hey i was wondering how do i create images which have transparent backgrounds and pixels with varied opacity, the GIF format allows transparency but no opacity…

I dunno if i have explained myself very well but any help will be greatly appreciated.

e.g I have an existing background with a varied gradient and i want a image in flash to move over it with what appears to be smooth edges, using opaque pixels. o_0

Thanks in advance,
Josh