You have to change the background drawable. The reason it is transparent is that the Holo theme's edit text background is based on a 9 patch that has a solid underline, while the rest of the area is transparent.
<style name="MyEditText" parent="android:Widget.EditText">
<item name="android:background">@drawable/my_edit_text_background</item>
</style>
You will need to define your own background drawable, which should probably be a state list drawable so it will look different depending on whether it is in focus.