I am not sure whether i tried it with mental ray. But I have tried it a lot with maya software.
I haven't tried it with the targa format. I like AVI because it is supported by many software. I like IFF because it is the default rendering option (just kidding).
I am not a professional and I did not learn computer graphics from people. Most of what I know is through experimentation and my experimentations have shown me that AVI work with alpha.