That's because the video card's natural(fastest) rendering order is front to back.
Get yourself a TBDR and you wont have to worry about this sort of thing.
Whats a TBDR?
Anyway, it's better that I worry about this sort of thing now than others playing my game don't you think?
The only other tip for improving fill rate I know of is to use the alpha test to reject blended fragments that are near to very transparent. Using a test value close to zero can eliminate a whole bunch of fragments that barely show in the final image.
Looking at the screenshots this might be worth trying, you certainly have a lot of particles flying around. Obviously if the test value is too high it starts being noticable, but it might be nice to add as some sort of quality option for slower machines.
Good hints, thanks! There's certainly a lot of blending going in, so it might help.