(Description of problem posted by Mathias Vejerslev)
A GIF only supports 1-bit transparency - either full transparency or full opaque. - Nothing inbetween. So, if your graphics has anti-aliased (fuzzy) edges, Photoshop has to make those semi-transparent pixels either fully transparent or fully opaque (by removing them, or adding an opaque color 'under' the fuzzy edges. This is the Matte.
Creating aliased graphics (no fuzzy edges) eliminates this problem, but you´ll have a harsh-looking graphic.
Ways around this, besides the matte color and aliased graphics, includes copying your HTML background graphic into your transparent file, and make a custom, aliased Matte (edge around your graphic), then place the transparent file pixel-precise on your webpage.