Actors and entites have an AlphaColor attribute. The AlphaColor attribute can define both color and transparency (0 to 255). I.e. to make an actor half transparent, you can do something like:
actor.AlphaColor = MakeRGBA(255, 255, 255, 128); // white color, alpha 128
Note that this setting overrides scene coloring. To reset the default behavior, set the AlphaColor attribute to zero.
Transparency for sprites can be defined in SpriteEdit.