When saving images that have a transparent area around them use whatever the feature in Photoshop is called that allows you to automatically crop away the unneeded portions while preserving the drop shadow.
And this may be what Phergus meant, but I find it's easier to add a transparent layer, crop/erase as needed, then add the drop shadow. Otherwise, if you add the drop shadow before you've cropped/erased the image, it's hard to get a good edge with the shadow. Adding the shadow after you've cropped/erased on the transparency (or completely cropped image with a transparent layer) gives you a clean output. If you use autocrop with GIMP, be careful as it may crop your shadows. It's easier to just grow the selection you shadowed by a couple of pixels more than your shadow setting and manual crop.