Doing a search on the forums on this subject found me this:
I guess you question is 'can the hardware do this automagically for me?' and the answer is : no.
When it comes to semi-transparent stuff you have to draw it in back-to-front order with z-testing on but z-writes off.
This is going to put an extra bit of work into your render, as you'll have to sort your tiles into transparent or not groups, render the none transparent and then render the transparents tiles of each layer in the correct order to get the blending right.
but the OP was using the depth-buffer in his application, so I'm not sure if phantom's answer is my answer aswell...