There are two key points to consider here:
You can do this with the default framebuffer. However, you need to request it properly. Windows's default selection mechanism doesn't seem to weight having RGBA very highly. The best course seems to be to enumerate all possible pixelmodes and then select the one you want "manually" as it were. By doing this, I was also able to specify that I wanted a 24 bit depth buffer, an accumulation buffer, and an 8-bit stencil buffer.
The OpenGL context must be fully valid for alpha blending, depth testing, and any even remotely advanced techniques to work. Curiously, I was able to get rendered triangles without having a fully valid OpenGL context, leading to my confusion! Maybe it was being emulated in software? I figured it out when glewInit (not to mention making a few VBOs) failed miserably. The key point is that the OpenGL context must be valid. In my case, I wasn't setting it up properly.
This problem was in the context of my currently writing a lightweight cross-platform windowing toolkit. Currently, it supports Windows through the Win32 API, Linux through X11, and I just started porting to Mac OS through X11.
At the request of some in the comments, I hereby present my humble effort thereof that others may benefit. Mac support doesn't work yet, menus aren't implemented on Linux, and user input on Linux is only half-there. As of 1/18/2013, it may temporarily be found here (people of the future, I may have put new versions on my website (look for "Portcullis")).