You didn't mention the renderer. This is important because there are differences between the default JAVA2D renderer and the P2D/P3D OpenGL renderers. I am assuming you are experiencing problems with the P2D/P3D renderers, because I have had the same problem.
I have filed an
issue about this, but it got fried. So you just have to explicitly clear the background with
pg.background(0, 0);
Some of my other filed issues (see
here) with regard to transparency in PGraphics have been fixed by andres. Those are available when you build from svn.
Note that I've also seen differences in transparency behavior between different video cards in Processing 2.0b7. In the latest svn build those discrepancies seem to have been solved.