MacOS X comes with a built-in ability for capturing screenshots. The two most popular ones are:
Command ⌘ + Shift + 3 for capturing the whole screen and Command ⌘ + Shift + 4 for capturing a portion of the screen. The latter one changes your mouse pointer into a cross-hair, allowing you to select an area. Both shortcuts place the result onto a PNG file on your desktop.
How about capturing only the active application window? There is a trick for that too.
Press Command ⌘ + Shift + 4, then press Space, and the mouse pointer will change to a camera icon and highlight the active window under it. Click to make the capture.