Maybe because your image have blurry edges. Try to make the edges exactly in pixels, or in example if you want to make a blurry drop shadow effect of an image, make a new layer below your original/shadow layer and make a 1 or 2 pixels outline using the background color of your web page. It works for me! or you can mail me the image so i can make the gif transparent for you and write you the step by step so you can try it your self.
keep on tryin!
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[edited by: limbo at 3:46 pm (utc) on Dec. 10, 2007]
If it's a soft edge around the non transparent part of your image that is actually what you want it to look like unless you're trying to make them for multiple colored backgrounds. I don't have CS but in my image editor I can and do produce this on purpose. The soft edge smooths out contrasting colors between your gif and the background color. If you don't any imges that have a very high contrast with the background will appear very jagged or aliased on round edges or angles.
A good example of this is the smilies common to many forums, they have sets for light or dark backgrounds. The key is getting the correct color soft edge.