I want to add some transparent images to my design, but when I do, the borders don't look exactly the way I saved the image.
Round borders are like squares and they definitely don't look good.

Is there any other format (not gif) that I can use for transparent images?

PNG - works well. Check out this site I designed last year, http://deepertides.com/ see how the background is visible beneath the images? It's simply a matter of using PNGs.

NOTE: a bare MS Paint does not do the job tho. Use GIMP instead.

Unfortunately IE below V7 will not display the alpha tranparency of .png's correctly, you just get a dirty grey mess instead.

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