I'm just a little worried about the filesize of 24-bit PNGs as JPEG is much much smaller.
And this would have to be cross-browser compatible obviously.
I'm thinking maybe http://www.dillerdesign.com/experiment/DD_roundies/ but if anyone has experience in implementing, would be nice.
I think you are trying to get images with transparencies without using a PNG. You can put a transparent color onto a GIF (.gif) image, and it will be smaller then a 24-bit png. But it may not give you as much color range as you would like, as it's limited to 256 colors. JPG files, though, do not support transparency at all so don't use those.
I have experience with DD Roundies. I will tell you I have used just about every method I could find besides DD Roundies and DD Roundies is the easiest to implement and use.
However, there are 2 issues I currently know of. First off the it doesn't work at all with Opera. If you load a page with DD Roundies into Opera it will just give you an unrounded box.
The other issue and frankly, the more distressing, is an issue with IE8. If you open up a page in IE8 that has rounded edges it looks fine. However, if you go to re-size the page by stretching or shrinking your browser window the rounded boxes do not move with whatever is in them. Unfortunately, IE8 is one of the most used browsers out there currently so that is a big issue.
Also, the guy that makes DD roundies is aware of the issue and is working on it. I guess there are some other fairly technical issues with the IE8 fix so he hasn't said when it will come out. Hopefully, it will be within the next month.