Or, possibly On2 VP6 encoding.
I'm presuming that you're referring to a video file that can play in Flash Player (i.e., F4V or FLV).
"To include the alpha channel in the FLV output, use the On2 VP6 codec and select Encode Alpha Channel in the Video tab of the export settings dialog box."
A PNG sequence can be used if you will go through the Flash authoring app itself to add interactivity, for example. If not, or in either case, you can create a FLV (Flash video) file with alpha. This can be used directly with the Flash player on the web.
Just pull the key with Keylight, and when it's done, Add the Comp to the Render Queue, set the Output Module's channels to RGB+Alpha and then pick Flash Video (FLV) as format, with one of the Flash 8 presets. The preset will instruct you in the comment field to adjust the stretch settings in the Output Module to the size specified by the preset.
For more information, see Render and export a Composition as an FLV or F4V file in After Effects Help.
I am going to be filming myself against a chromakey screen, and want to create a flash file with a transparent background.
Is this possible?
Yes, of course. Just be aware that this requires a broader consideration - just as much as the keying itself, it is important to generate the Flash files correctly as well as embed them with the correct wmode=transparent Flashvars into the web pages. as the otehrs said, all you need to do from AE is to export a FLV or F4V with Alpha channel, on rarer occasions for short sequences also PNG sequence. the rest is pretty much up to how the file is authored and handled in Flash and your web design application...