Transparency is evil. Ideally you need to draw everything except the transparent stuff, then draw the transparent polies in a back-to-front order for correct rendering. assuming transparent polygons will be part of the models, that is a pain to implement, and think what happens if poly-counts start rising. sorting 1000s of polies each frame isn't nice (Of course you can use frame cohesion for your advantage there, but that kind of idea is painful in itself)
Just a small note, aldo, PCXs come in 8-bit or 24-bit colors (Well, that's except older formats with less colors), so no alpha channel there.
By the way, RandomTiger, are models drawn in a front-to-back order? since they're BSPs. it's simple to do, and the reduced frame-buffer access should yield some preformance increase.