Windows 8 から子ウインドウがレイヤードウインドウになれるので、アプリケーションマニュフェストを追加して
  <!-- Windows 8 -->
  <!--<supportedOS Id="{4a2f28e3-53b9-4441-ba9c-d69d4a4a6e38}" />-->
のコメントアウトを解除すると、簡単に透過できます。
Imports System.Runtime.InteropServices
Public Class Form1
    Private Const WS_EX_LAYERED = &H80000
    Private Const GWL_EXSTYLE = -20
    Private Enum LWA
        COLORKEY = &H1
        ALPHA = &H2
    End Enum
    Private Sub PictureBox_HandleCreated(sender As Object, e As EventArgs) _
                Handles PictureBox1.HandleCreated,
                        PictureBox2.HandleCreated
        Dim pic = DirectCast(sender, PictureBox)
        pic.Image = My.Resources.megane_hikaru_woman
        pic.SizeMode = PictureBoxSizeMode.Zoom
        pic.BackColor = Color.Gray
        Dim dwStyle = GetWindowLong(pic.Handle, GWL_EXSTYLE)
        dwStyle = dwStyle Or WS_EX_LAYERED
        SetWindowLong(pic.Handle, GWL_EXSTYLE, dwStyle)
        SetLayeredWindowAttributes(
                pic.Handle, ColorTranslator.ToWin32(pic.BackColor),
                0, LWA.COLORKEY)
    End Sub
    <DllImport("user32.dll")>
    Private Shared Function GetWindowLong(
                hWnd As IntPtr, nIndex As Integer) As Integer
    End Function
    <DllImport("user32.dll")>
    Private Shared Function SetWindowLong(
                hWnd As IntPtr, nIndex As Integer,
                dwNewLong As Integer) As Integer
    End Function
    <DllImport("user32.dll")>
    Private Shared Function SetLayeredWindowAttributes(
                hWnd As IntPtr, crKey As Integer,
                bAlpha As Byte, dwFlags As LWA) As Boolean
    End Function
End Class