Hmmm....When you say window do you mean terminal window or window for an open app?
xterm that comes with X11 does not support transparency....unless you use WindowShade X
Other terminals that do support transparency are aterm and eterm. Also, the terminal in osx can be made traparent via the menu.
Now, if you mean the app window, then I would suggest WindowShade X. This is the only way I know of....
Terminal works with the defaults write com.apple.terminal blabla command.
For all windows window shadex does that, as said.
For cocoa apps, you can break into the core of the system and add the Alpha Level value to it ... so if you know what to do with the developers' tools that can be done. Should I find the how-to for that method?