Because of inconsistencies in the way different windowing systems handle the initialization of GL, and the relative difficulty in finding out which modes are valid given a fairly patchy API, we "manufacture" all the combinations of alpha, depth, and stencil for each actual display resolution/frequency/bpp.
You shouldn't crash if you select a mode with alpha=8 on Nvidia hardware; can you post the whole error up so we can have a look at it.
Alpha is used for some Very Special Effects. That ol' terrain demo which used to be kicking about these parts used the alpha buffer to store intermediate results for per-pixel lighting operations (and did subsequent passes with GL_DST_ALPHA and GL_ONE_MINUS_DST_ALPHA in glBlendFunc). It can be used for a lot of other clever things too but a lot of this is falling by the wayside as multi-pass rendering techniques slowly give way to fragment programs.