Is it possible to change the transparency of an already open window in Mac OS X?

Which version of Mac OS X?

In Terminal.app, if you change the settings of any of the presets it will affect all open windows that use that setting. (I can confirm this for 10.4+)

So, if you click on the preset you used for the open Terminal window (most likely the one with Default in grey text below it) and go to the Window tab you can click on the Color picker under the Background header and change the Opacity.

There is an app enhancer Afloat, which can change transparency of any cocoa window. Also it can convert any window to overlay, force it to float above others, pin it to desktop and some other stuff.

Chealion's answer works, and I'll be marking it as the accepted answer, but I figured out another way to do this also, cause I'm too impatient to wait for answers:

1. Create a new set of settings with the desired level of opacity in Terminal -> Preferences
2. Make the desired terminal window active and Show Inspector for it: Shell -> Show Inspector or Command+I
3. Choose the Settings tab in the Inspector and select the new set of settings. Viola! That one window is now transparent, without affecting the others that were started with the same set of settings.

The reason I wanted to do this was so I could put this window on top of another window that had similar (but not identical) output and visually inspect to see the difference. Consider the following:

vs:

It is much easier to quickly glance at the screen and spot the difference between the two.