As is well-known for iOS devices, if you press and hold the Home button and then immediately press the Sleep/Wake button, a screenshot of the current screen will be taken. The screenshot is saved to the 'Saved photos' album in the Photo app.
What may not be obvious is that this even works when playing a video; the current frame is saved without interrupting the videostream. This works for videos playing in the iTunes app and also in the YouTube app, so it appears to be available globally.
[crarko adds: I tested this on my iPhone, and it works as described. The author used it with an iPad.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20101011082156616