If you copy an image to your clipboard, then go to Preview.app and click File -> New from Pasteboard (Command-N), you get the image from your clipboard in a new window. Ways you can get images into your clipboard could be with Safari (Control-click on the image and select Open image in new window, then Edit -> Copy), or add the Control key to any of the key combinations that capture the screen, which are covered in
this hint. Finally, you could select part of an image in a graphics program and copy that.
You can then click on File -> Export to save as a JPEG or any other format; if you try to save it with Save or Save As, you will only be able to save it as a TIFF.
[
robg adds: An
earlier hint touched on this ability in Preview, but the instructions were wrong (you can't hit Command-V) and the export step was missing.]