This effect is (so far) only for iframes.
This also seems to only work in Internet Explorer 6+.

As you can see, the scrollbar to the left allows the background to show completly through.
You can do this using IE's 'Chroma' filter within the iframe's tag.
The chroma filter allows you to select one color to be transparent.
So, here's how we make this work.

First, within your iframe tag, add the following code:
style="FILTER: chroma(color=#CC9966)" allowTransparency

You will need to select a color to use it as your chroma color.
A warning however. The color you select will become transparent in EVERYTHING.
In other words, if you have any images on your page that contain the color you selected for the chroma, it will become transparent in the image.
So, I wouldn't recommend using white or black as your chroma color.
For my example, I used a kind of brownish orange shade.

Next, with your CSS tags, set the scrollbar elements you want to be transparent to the same color as the chroma setting.
Mainly, you will want to set the track and face elements to be transparent, but you can also make any of the settings transparent.
You can make the whole thing transparent if you want, but I don't recommend it. :P
Here are the settings I used above:
BODY {
scrollbar-face-color:#CC9966;
scrollbar-arrow-color:#CC9966;
scrollbar-track-color:#CC9966;
scrollbar-shadow-color:#000000;
scrollbar-highlight-color:#000000;
scrollbar-3dlight-color:#CC9966;
scrollbar-darkshadow-color:#CC9966;


I also set the iframes page's background color to match so the background image would show through.

I know alot of people have been wanting an effect like this.
But remember, if you're going to use this effect, keep in mind that it will NOT work on any browser other than Internet Explorer.