defaults write NSGlobalDomain AppleScreenShotFormat imageFormatReplace imageFormat with one of JPEG, TIFF, PNG, or PICT to change the format of the screenshot.
This can also easily be done using a prefpane known as OrangePref from Freshly Squeezed Software. The pane also allows you to set the scroll bar arrow behaviour (just like the TinkerTool prefpane).
[Editor's note: Of course, there are also third-party screenshot programs that offer even more choices - SnapzPro X, for example, can save images as .bmp, .gif, .psd, and probably a couple others I'm forgetting at the moment.]

