What file type are you saving it as? A psd? If it is anything other than psd, png, or gif, it will give you a white background. Also, be sure to check that there is not a second layer (maybe hidden) that has a white background. If it is hidden, it won't show up while you are working on it, but it will show on the save.
Create a background layer (put it under the layer of your picture) and leave it empty.
Go to file -> save for web, choose PNG, set the quality settings you want and save it, PNG images allow for transparent backgrounds.
If you have those little gray & white checkered boxes behind the image already, don't bother with the background layer, unless it gives you a problem even as a .png file, then add it and leave it blank.