You probably have your frame disposal set on either 'I don't care' or 'cumulative layers (replace)', which layers the frames on top of each other, so any transparencies the top layers have will show the previous layers behind it. You need to set it on 'one frame per layer (replace)'. You know those two pop-up windows that happen when you save it as a gif? On the second pop-up:
http://gyazo.com/0853c04f0c42b979e825e55beafa9387.png?1354940042 (Unsupported image host)