In the spirit of One Schengen Visa Question to Rule them All, I recommend that we create some standard transit visa questions.
I don't think we can make this one question for everywhere, but we can write one for each country, starting with US, Canada, Schengen and UK, adding others as necessary.
In fact I'm going to do it for some of them right now. Let me know if you object.
Wait, this was supposed to be a question. So...do you like it?
See: Is there a way to find out if I need a transit visa for Canada?
And feel free to edit the community wiki answer.
See also: 50 nationalities, 100 countries, should we expect and tolerate 5000 visa questions?