However, if you want to save or export artwork to other formats like PDF, there may be problems with the outcome. Sometimes the transparency will be lost in the exported image or severely distorted. In this case you have to flatten transparency in order to get satisfactory results.
Choose Edit > Flatten Transparency and turn on Preview mode. In the Preset menu choose either High/Medium/Low Resolution. In Transparency Flattener you can set options for the output. Here you can read what each setting mean.
From Adobe Illustrator Help:
More on Transparency settings:
Illustrator flattens artwork when you perform any of the following actions:
Print a file that contains transparency.
Save a file that contains transparency in a legacy format such as native Illustrator 8 and earlier, Illustrator 8 EPS and earlier, or PDF 1.3 format. (For the Illustrator and Illustrator EPS formats, you can choose to discard transparency rather than flatten it.)
Export a file that contains transparency to a vector format that does not understand transparency (such as EMF or WMF).
Copy and paste transparent art from Illustrator into another application with both the AICB and the Preserve Appearance options checked (in the File Handling & Clipboard section of the Preferences dialog box).
Export in SWF (Flash) or use the Flatten Transparency command with the Preserve Alpha Transparency option selected. This command lets you preview how artwork will look when exported in SWF.
Adobe Illustrator Help File