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I would be very interested in understanding the tools, the video formats and off course codecs that you guys use to produce such videos with a transparent background.
Export an AVI or QuickTime file with an alpha channel
Select the sequence.
Choose File > Export > Media.
In the Export Settings dialog box, choose Microsoft AVI or QuickTime from the Format menu.
On the Video tab, choose PNG, None, or Animation from the Video Codec menu, and choose 32 from the Depth menu.
Set other settings and click Export or Queue to export as you normally would.
Sony Vegas
Video Source
Use Chromakey, Mask tool, or secondary color corrector to create transparent areas.
Render as uncompressed avi and in Custom, select the "render Alpha Channel and Create OpenDML.
This will give you the transparent channel you want. Only a 32bit file can carry the alpha channel.
You could also output a sequential PNG with transparency.