Old school mac users might be frustrated trying to copy an icon from the finder info window when they paste it into photoshop, because the transparency is not respected. It usually appears on a white background.
Why Adobe can't sort this out is beyond me, but there is an easy fix.
Right click on the application with the icon you want to copy and choose "Show Package Contents".
In the "Resources" folder you will find a bunch of .icns files, one for the app, and one for each of the documents that are associated with the app. You can open these in preview, and from there, export them as a PNG with transparency.