You guys are thinking of alpha transparency, which first of all, is not possible with bitmaps (Winamp skins use bitmaps), and second of all, Winamp has no support for.
However, there are plugins for Winamp which let you use alpha transparency (in Win2k, XP) to make your Winamp transparent.
So, there are no transparent Winamp skins. But you can take any Winamp skin and make it transparent yourself.
edit: CorporateRecreation: no luck for XMMS

....unless someone makes an XMMS alpha transparency plugin.
I usually hide XMMS/Winamp anyways
