I created a lower third while watching Richard's excellent Creative Cow tutorial.
I animated my lower third then went to Actions/Video/Alpha Channel/Play.
Then I Exported/Rendered to a Quicktime clip. If I select the Alpha Channel in the Channels panel, the alpha channel turns pink. If I render it, the alpha channel is there (in Sony Vegas Pro 10) but my key-framed animation is not. If I do this without the alpha channel, the animation plays, but the alpha channel is gone and the screen is black behind the lower third.