Say I want to compare pixels to see how similar in color they are. This wikipedia article describes how:
https://en.wikipedia.org/wiki/Color_difference
it says:
My question is, there not just a R,G,B component, but there is one more dimension - Alpha, which has to do with opacity. Is there a way to take the Alpha component into account?
Is it just one more independent variable as another dimension? If it's an independent variable, then it seems like we can just do:
$$distance = \sqrt{(R_2-R_1)^2 + (G_2-G_1)^2 + (B_2-B_1)^2 + (A_2-A_1)^2}$$
is that right or does it not make sense? I would prefer the using the squareroot instead of omitting it, to save a smaller number in a database.

You should initially ask what the alpha channel means in your specific context. May be you mean the transparency and the color as two distinct concepts, so it would be pointless to compare them mixed up as a single RGBA value. However it is worth to try the four elements version of the formula against your environment, as it may perform quite well on checking whether two pixels differs by a very small RGBA distance.