List goes on. Basically most uncompressed or lossless codecs. The alpha will need to be created during the creation of the file. For instance, in After Effects, you would choose "RGB+Alpha" "millions of color +" and "premultiplied" or "straight".
For formats that do not support an alpha channel natively (say DV), you can often output a separate alpha channel in its own file, to then use as a track matte or alpha matte. Often compositors when needing to transfer effects via tape will lay both the unmatted effect shot followed by the grayscale alpha. matte.
I have a followup question. In my copy of After Effects at least, there is only ONE codec on the list that allows me to compress AVIs with an alpha channel, and that is TSSCC.
If I were to use another codec for compression, one that did not support "RGB+Alpha", could I render a separate alpha channel file (I presume by selecting just "Alpha"), then reimport both compressed parts and somehow laminate them back together WITHIN After Effects?