You mention jpg as an option for a sprite, but can you get an alpha channel on a jpg? I thought it was missing this chann...

JPG won’t have an alpha channel itself but when you use it with some of the particle shaders it’ll use the black color as alpha. The explosion shown in this course was a series of JPG images. Also if you click on the file in the project panel, you can see the channels used in the preview window in the inspector. It'll say something like RGB or RGBA, A being the alpha channel.