Hehe, I was wondering exactly the opposite, Quib. I've been playing with native DDS format again, and I find the alpha channel to be so incredibly annoying. I can see where it would be useful for really intricate semi-transparent images, but most of the time I'm working with either 100% or 0% transparency, so having to duplicate all my work in the alpha channel to get things to show up right is just…well, bleah.
If you've got any sugestions (or links to resources) feel free to lay 'em on me. 'Cause right now I'm going insane trying to get the RGB and Alpha channels to sync the way they're supposed to.
(And I still say DDS displaying a color instead of the transparency hash when there isn't actually any color there—regardless of what the alpha channel has to say about it—is a bug
… but the channel thing sure does explain a lot)