This isn't a wordpress issue, but I have have read information about this some while ago. I believe it has to do with whether you have anit-alias on or not.
Background info: http://en.wikipedia.org/wiki/Spatial_anti-aliasing
I did a quick search and for 'photoshop anti-alias transparent tutorial' and got this tutorial that might be helpful (I just skimmed it, so if not helpful, I'm sure googling what I suggested you'll find something better):
Hope this helps, TheCuriosity.