In some 3d programs you can use alpha to alter geometry. Let's say you want to have a bunch of star-shaped holes in a sphere for example. You can apply an alpha texture map of black stars on a white background. Then if you put a bulb light inside the sphere and turn on volumetric/cone lighting the light will shoot out through the the star holes. Making the stars 100% transparent (not an alpha) is different but maybe in some programs amounts to the same thing. C4D for example has separate transparency and alpha channels in its material system. Lightwave has an option where you can say that a texture map is an alpha (and I think this can happen in any channel that accepts texture maps). Carrara's G-buffers are handy in that you can do things with the alpha mask in Photoshop as suggested in the previous posting. Some programs allow you to render in multiple passes to facilitate compositing in Photoshop or After Effects (I've been surprised to see how much "3D" work is actually done post-process in Photoshop).