Save it as a TIFF or PSD with transparency ticked.
If you are going to include things like text layers, vector masks, or vector shapes in photoshop - best to save as a PDF with photoshop editing capabilities.
But pure raster documents, TIFF or PSD is preferred.
Is the background a spot color? How does it look in Preview Mode?
Which file type are you using? How is the transparency done in Photoshop?