Personally, I would like to see seperate transparency settings for TLB background, menu icons, shortcuts, menus, icons inside the menus, menu text, and menu borders. Possibly even seperate settings for the different states of items (normal, down, active, etc). Maybe the easiest way to accomplish this would be something I've seen in other skinnable applications: alpha blending. Basically, for every bitmap in your skin, you have another greyscale bitmap that determines the tranparency level of that bitmap. White is opaque, black is completely transparent, and the different shades of grey are different levels of transparency. If you allowed icons to be bitmaps, you could pass this functionality on to them, as well. Or just have seperate trancparency sliders for icons. Here's an example of alpha blending:
WinXP Pro (5.1.2600) SP1 TLB 3.0 IE 6.0.2800.1106 Shell 6.0.2800.1106
Command Line 3.3.0.0 Process Viewer 2.0.0.0 Calculator 1.0.0.0
Weather Forecast 1.0.0.0 Media Control 4.0.0.0 Volume Control 2.1.0.0
Net Monitor 1.4.0.0 Up Time 2.1.0.0 System Monitor 2.4.0.0
Drive Space 2.3.0.0 Mail Monitor 1.9.9.0 TLB Clock 1.3.0.0