This is a guide to installing xorg and getting transparency up and running. Skip to the section where you enable Compositing support in the xorg.conf file. Basically you'll have to add a line or two to xorg.conf and get your hands on xcompmgr (only in fdo cvs I believe). Also, if you use a nvidia driver, you'll have to add the line 'Option "RenderAccel" "True"' to your video card driver section of your xorg.conf file.
xcompmgr has come a long way since I used it in August. It's 90% stable for normal use now, and I can go days at a time without it crashing. When it does crash it usually dies gracefully, leaving me without shadows but still with a working computer. It still HATES OpenOffice (crashes pretty consistently when it's open), and it also can't stand me loading up my MP3 player. Other than that though it's really stable.
See xcompmgr --help for all the cool things you can do with it.