My solution was extremely close to Joel's (Not Etherton, just plain Joel):
public partial class WaitingDialog : Form
{
public WaitingDialog()
{
InitializeComponent();
SetStyle(ControlStyles.SupportsTransparentBackColor, true);
this.BackColor = Color.Transparent;
this.TransparencyKey = Color.Transparent; // I had to add this to get it to work.
// Other stuff
}
protected override void OnPaintBackground(PaintEventArgs e) { /* Ignore */ }
}