I'm not sure when this became available, but I don't seem to remember it happening before 10.8. You can now take screenshots of sheets within a window by pressing Command-Shift-4.
A sheet is a dialog that drops down from a window, but is attached to that window. To take a screen shot of one, press Command-Shift-4, then press the space bar, which displays a small camera cursor that you use to select the window to shoot. If you want to take a screenshot of a sheet, press the Command key, and you can select only that sheet, and not the entire window behind it.
You can try this by going to the Finder and pressing Command-Shift-G, or choosing Go > Go to Folder; what displays is a sheet.
[kirkmc adds: I certainly didn't know this, and don't find it anywhere on the site.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20121017124820257