I use After Effects CS6 which includes a great program that has a very advanced chroma keyer which recognizes fine details like in smoke and hair that is against a green screen, and effectively removes it.
After that, I convert the video to a .MOV video format with a lossless PNG codec that has an added alpha channel which allows preservation of the transparency.
You simply take the video file, and import it into any program which supports Quicktime's .MOV format, Sony vegas pro, final cut pro, Photoshop, premiere pro, etc.
This is especially great if you find a free green screen resource on youtube (such as an explosion) and want the object to be removed flawlessly. I'll do it for you!