Parallax isn't necessarily a 'map' in the same way that a 'diffuse' or 'normal' map is so Blender doesn't yet support the direct baking of them. Instead, in game engines, parallax tends to be an 'effect' that's the result of some clever math and programming associated with the interpretation of texture image assets. For example, some technology use the often redundant 'blue channel' of a normal map, 'boosting' that to produce parallax. Or more commonly, others tend to use the alpha channel layer of an image which can be taken from any texture image - normal, diffuse, specular et-al. It is in fact very rare for engines to use specific parallax 'maps' because that would often mean loading in and processing additional information, effectively 'wasting' resources for an effect that can be had by other 'cheaper' means.
So the answer to the question is to look at the specific requirements of the rendering technology you're working with, producing assets relative to that - the likelihood is that it's simply a matter of baking a 'displacement' map (something Blender does do) and dropping the results into the alpha channel of another texture. Alternatively, it may be possible to use a third party application like
CrazyBump to assist in generating images that can be used to create parallax in game.