You can take screenshots with keyboard shortcuts, the Grab application, or third-party applications. The Lion version of Preview takes screenshots now, too.
In Preview, select File » Take Screenshot, and select from the three options: From Selection; From Window; or From Entire Screen.
When you select your menu item, an overlay appears reminding you what to do next. You can use the Application Switcher (Cmd+Tab), Mission Control, or left-right trackpad swiping to get to the desired desktop and application. Then select the desired screen area or window and click to take your screenshot. You can't take a screenshot of menus this way because you have to click to bring up a menu. (For that, select the desired menu/submenu and use the good, old Cmd+Shift+4 » Space bar keyboard shortcut.)
OK, so why go to all this trouble when I can just use Cmd+Shift+3 or Cmd+Shift+4 to do the exact same thing with a lot less trouble? Well, frankly, most of the time you wouldn't. But Preview has some nifty tricks up its sleeve that it's inherited from the venerable Grab application.
Selecting the From Entire Screen option gives you a 10 second countdown so you can get things just the way you want, which with Mission Control and Spaces is easier than ever because you can setup one desktop for your screenshot and open Preview in another. You have time to position the cursor where you want it, too.
After you take the screenshot, instead of dropping a new file on to your desktop, the new image opens right up in Preview where you can edit it as desired, including cropping out undesired parts and adding annotations. Click the Close button (or the Save... or Export... menu item) and you can choose from one of six different image formats, including JPEG, PDF, or even OpenEXR. You can name it and save it wherever you want, and there's Versions and Full Screen support, too. (Full screen screenshot pranks, anyone?)
Longtime users of Grab will likely say, 'So what?; But Preview has incorporated Grab's features and brought them nicely forward with support for the latest APIs and UI features. You've heard of Grab, right?
A little history: A hold over from NeXSTEP/OpenStep, Grab is an odd little app that's been around since the very first version of Mac OS X. Grap.app lives on in Lion; version 1.6 (build 109) copyright 1995-2011 is in your Utilities folder.
[crarko adds: Grab was always one of those programs I saw people having difficulty understanding how to use. It was kind of a strange process, not unlike taking a screenshot in Windows. This way seems to be far more intuitive.
*Changed from a 10.7-only hint as people have noted this is also present in earlier versions.*]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20110729051625233