Emacs 23 just added the functionality to change the alpha value of the current frame to make it transparent. I just type the following command in .emacs:
(set-fra
I used to build from source just so I could use the patch at http://umiushi.com/~wac/bgex/, but that doesn't work on Mac (and probably not Windows). It allows you to put a different background on different buffers based on filename or major-mode. I liked it a lot.
One thing that almost works is to set the stipple for the default face
M-x customize-face RET default RET
to a file. For me this ends up being worse than nothing though since it only adds a background image to the portion of the buffer with text in it (at least on OS X). I learned about this by asking on emacs-devel
http://lists.gnu.org/archive/html/emacs-devel/2009-06/msg00477.html.
You may also find http://www.emacswiki.org/emacs/TransparentEmacs useful.
There is a way. Install Xfce terminal, which allows you set background image in terminal and start emacs in no-window-system mode from inside the terminal. Using screen/tmux (some sort of terminal muliplexer) you can dedicate a terminal session to emacs.
This doesn't appear possible at a glance. Below are the frame parameters that can be set: