export_fig by Oliver does this.
Excerpt from the help for export_fig:
For transparent background (and semi-transparent patch objects), set the figure (and axes) 'Color' property to 'none'; pdf, eps and png are the only file formats to support a transparent background, whilst the png format alone supports transparency of patch objects.
logo; set(gcf, 'color', 'none'); alpha(0.7);
export_fig perfect_solution.png
Maybe Oliver can enlighten us on how he did it.
EDIT: Here's is an example of the exported image over a fancy, textured background:
(Image Source: http://sites.google.com/site/oliverwoodford/software/export_fig)