In the latest trunk build of docky it seems like Docky always is obscured by other windows, always underneath them.
Though the tooltips are shown and the docky responds to mousover-actions mouseclicks are placed on the window that is above docky, not too much of a surprise maybe.
[Info 11:24:03.973] Docky version: bzr docky r960
[Info 11:24:03.986] Kernel version: 2.6.31.14
[Info 11:24:03.988] CLR version: 2.0.50727.1433
[Info 11:24:04.278] [DockServices] Dock services initialized.
[Info 11:24:04.465] Setting theme: Air
[Info 11:24:04.892] [PluginManager] Loaded "Clock".
[Info 11:24:04.901] [PluginManager] Loaded "Weather".
[Info 11:24:05.635] [AbstractWeatherSource] Weather Underground: Reloading weather data
I'm not quite sure I understand what you mean. Does this happen for all apps, or just fullscreen apps? What autohide setting are you using? And are you saying that docky _stays_ underneath all windows, even when you move your mouse to the edge of the screen?