In your render settings choose a codec that supports alpha channels, like Animation (lossless--excellent quality, large file size), then choose Millions of Colors+ and RGB+Alpha. You'll have to choose whether you want your alpha to be straight or premultiplied--what you plan on doing with your footage will dictate which one you'll want. Do a search for Aharon Rabinowitz (I hope I spelled his name right) on the Creative Cow for his overview of the difference between them. He's also a forum leader in the After Effects forum--go there, click on his head, scroll down and choose his Straight/Premultiplied tutorial. Good stuff.