CORRECTThe taskbar is transparent when all windows are minimized or the active window (or windows underneath) are not maximized.
FBD, are you using the default Aero setup or have you applied another visual style? Because that window is really transparent so I assume you applied another visual style (which is likely the cause).
Bet thats for me too.I think I know what's going on for you. I think your wallpaper is too dark at the bottom. Try changing to a lighter colored wallpaper (the black and white wallpapers included with Vista work really well).
Hmmm, i dont think I will be messing with it .You would have to "patch" the uxtheme.dll file and then you can download after market visual styles, some of which give you maximum transparancy.