Are there non-transparent gases?
First, a little bit of background. Transparency is not an absolute property of a material. Every substance is opaque, so long as light has to pass through enough of it, and opacity also changes according to ambient conditions.  Some substances, such as most metals, are opaque even in $100\ \mathrm{nm}$ thin films, while many gasses will let a small amount of light through mostly unperturbed even after several kilometres. For example, here is a measure of how far photons of different energies can travel on average in the pure elements before interacting once with their atoms (the graph is actually for high energy x-rays rather than visible wavelengths, but they're all photons nonetheless). It makes intuitive sense that a gas should let more light through, as the atoms in it are much more spaced than in a solid or liquid.

The two general processes that work to make materials non-transparent are photon absorption and photon scattering (reflection being included as an example of scattering). When we say a material is "transparent" colloquially, what we generally mean is that the material, at the thickness observed, does not scatter much light and thus allows a coherent image to pass through the material (basically, you can see through it to the other side without a lot of distortion, that is, the object is "see-through" or clear). Interestingly, this means that a clear material need not be colourless, as correctly pointed out by Geoff, because photons of a given colour may be absorbed while letting most other wavelengths pass through without scattering.

Gasses in general are highly transparent because they are both highly colourless (absorb little light) and very clear (scatter little light) unless you're looking through several kilometres of gas, as I mentioned previously. However, there are examples of highly clear but coloured gasses, as it is possible for them to absorb a significant amount of photons of a certain energy due to low energy electronic transitions, while allowing the rest of the visible spectrum to pass through unimpeded. While some gasses are coloured and others are not, I believe all pure gasses must be very clear (small amounts of gas will scatter almost no light), and they can only scatter a fair amount of light across a short distance in conditions where they are probably not best described as gasses anymore (plasmas, supercritical fluids, etc).

Perhaps the most classic example of a coloured gas is nitrogen dioxide, $\ce{NO2}$, a strongly brown-red noxious gas which is easily formed by decomposition of nitric acid, among several other ways. The unpaired electron in its structure is somewhat uncommon, and it can be easily excited to a higher electronic state upon absorption of photons in the blue region of the visible spectrum. Since blue light is strongly absorbed even in relatively thin samples (a few centimetres of $\ce{NO2}$ gas), the rest of the white light passes through with essentially no scattering, forming a perfect image of the other side but with a strong red tinge.

Even more interestingly, $\ce{NO2}$ reacts with itself at low temperatures or high pressures and dimerizes to form dinitrogen tetroxide, $\ce{N2O4}$, a colourless solid/liquid/gas (depending on conditions). In other words, the two substances are in a reversible equilibrium:

$$\ce{2 NO2 (g) &lt;=&gt; N2O4 (g) + energy}$$

Coincidentally, this equilibrium is characterized by an equilibrium constant which is close to 1 at ambient conditions, and this constant can easily be changed by varying temperature or pressure to higher or lower values. This means that under relatively easily achieved conditions, it is possible to study the reversible change of a coloured gas into a colourless one! 


(Source)

Though I focused on $\ce{NO2}$ because it is a remarkable case, there are several other examples of clear but coloured gasses. As Geoff mentioned, the halogens all form coloured gasses, though bromine is a volatile liquid and iodine is a solid at room temperature, so a small amount of heating is necessary. Ozone, $\ce{O3}$, is somewhat blue (source), though its colour is best observed in the liquid phase. The same goes for oxygen gas, $\ce{O2}$, which is slightly blue, though it is not the cause for the blue sky. There are probably a few more examples out there.