Okay so there's plenty of info out there explaining how to create and animate lower thirds but that's not my issue.

My issue is that no matter what I do for render settings, RGB+Alpha, etc, when I import the lower third file into my editing program, there's always a black background in the clip that I need to key out. I know I'm doing something wrong as you're supposed to be able to just drop a clip over your footage and have the background already transparent. The composition files I'm working with are Photoshop and the background is transparent there as well. What am I doing wrong?

One other thing is that when I'm working in AE I have the transparency grid turned on in the workspace, when I turn that off, the background is black. Is this the culprit? How do I turn that off?

You'll have to choose a codec that allows the inclusion of an alpha channel. Animation codec allows it. So does choosing "none" as a codec (which is what I use).

Also, when rendering, select "millions of colors +".

Hope this helps.

In addition to what Dean says (use Animation codec) you probably want to set your Alpha settings to "Straight" rather than "Pre-multiply." This will eliminate the black edge on your transparent parts.

Hi. The black background in AE isn't your culprit, that's just a background colour so you don't have to look at the grey squares, can see your edges more clearly etc. However alpha will render as black if you don't use a codec that supports alpha (as already said "Millions of colors +") or if the program you import it into doesn't support alpha. If you re-import them back into AE or Photoshop do they still have their alpha? If they do then your problem will be with your editing program and/or how they import into it.

The best method for animated video with alpha channel is Quicktime using PNG. This is what I use in AE all the time for Proxies.

Just ti elaborate,
Which NLE are you using?
With Sony Vegas you have to go into Properties of the clip and manually select Straight/unmatted to get the alpha to display. This must be done for all codecs except PNG which Vegas seems to recognise on its own.
You can use Uncompressed and Animation as others have said,
BUT
Lagorith has an alpha option which is 1/4 the file size of the 2 above, a much better option IMO.
AFX transparency grid is just for preview, it does not in any way affect the rendered file.