I know that I can render still images with any of the output formats that support RGBA (PNG, TIFF, TARGA, etc.) and I know that I can render a movie as a series of still images. However, I don't know how to play them on an external player as a movie. I would prefer to render in a movie format to begin with, such as H264, AVI, etc. but I don't see how any of these will render with a transparent background. If there is a way to do either of the above options (playback in external player of a series of stills OR render movie with a transparent background) I would appreciate any help. Tthanks.

I dont know of any video formats which support an alpha channel for transparency.
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Spacemice / Blender Compatibility