What is anti-aliasing?
Anti-aliasing is a funny term that essentially means that intermediate color pixels are added to the edge of a graphic, to make it blend better with the background color. See the two close-up screenshots below of our blue circle: the one on the left shows the edge of the circle with anti-aliasing on, and the one on the right shows the edge with anti-aliasing off.
Anti-aliasing does make your graphics blend in better with the background, but also increases the file size, since it adds more colors. For situations where even a few bytes could be critical, such as for banner ads, try your graphics with no anti-aliasing. Also, it's not necessary for straight-edged graphics.