Video formats with alpha channel
I'm assuming that by formats you mean codecs. The following are codecs that work in either Quicktime (.mov), AVI, and MXF containers, or as image sequences saved as discrete files.

Commonly used in the industry:


Apple Animation (has been around forever, 8 bit support only)
Apple ProRes 4444 (probably the most widely used? I have no data, just guessing)
Avid DNxHD &amp; DNxHR (this could be just as widely used)
GoPro Cineform
PNG Sequence With Alpha (my favourite, allows for faster multi-instance renders), also TIFF sequences (ditto, but bigger files)


More obscure:


Avid Meridien 
other image sequences: Cineon DPX, Maya IFF, OpenEXR, Targa