" are you using the default grey bg color?"

In your Render settings, make sure that it is set to "Use current background shader" so long as you have not applied anything to the background in the materials room you will get transparency with png sequences. I have not tried uncompressed avi.

In Premiere and ae, File>Import Folder will bring in all the renders, open the folder in the project window, select all and drag into the timeline on the appropriate layer. I've read somewhere(?) about exporting clips with Alpha channels, which allows for superimposition but because it suits my uses I often export clips of single figures on a black background and a second silhouette version (Old fashioned Track Matte) in Premiere duplicate the sequence and use Video Fillters>Keying>Alpha Adjust set to mask only.

The vimeo clip is a multimulti figure video made with layered pngs then the clips were remixed with track mattes. the youtube one is another essay in compositing techniques

https://vimeo.com/13362943

 

http://www.youtube.com/watch?v=oTcSPde_1qs&list=UUEcKgtoS0Z6ryqTwgcioX9w&index=16&feature=plcp