You can set the Gnome panel transparency through it's settings but:
1. That's not true transparency.
2. If a panel has a background, you cannot make it transparent. Well, actually you can with a special image as it's background but it doesn't work with all the themes, as we've seen in Web Upd8 post about some really nice Gnome panel backgrounds.
But you can set the Gnome panel transparency with the help of Compiz, and that will solve all the above issues. Here is how: