So how to do it? Use keyboard commands! When buttons are connected by a + sign that means that you push all of those buttons at the same time.
Command+Shift+3 (capture whole screen) this captures an image of the whole screen and saves it to your desktop. If you use two screens it will save one image for each screen.
Command+Shift+4 (capture selected area) This creates crosshairs on the screen. Click and drag to create a rectangle that you want to save. Image is saved to desktop. This is by far my favorite of all of these tools. This is pretty much all I use for OS X.
Command+Shift+4 then hit space bar (capture window) This highlights a window. Hover your mouse over a window and click to save an image of that window.
If you want to save that image to the clipboard instead, use Control instead of Command. So saving the desktop to the clipboard is Control+Shift+3, saving an area is Control+Shift+4 and saving a window is Control+Shift+4 then space bar
If you're using Leopard or later, you can modify the capture area you're highlighting with Command+Shift+4 or Control+Shift+4. Here are those modifiers:
Space bar - move whole selection
Shift - resize one side of your selection
Option - resize rectangle around the center point
Another option is to use the Grab application that comes with OS X in the Utilities folder. The functions are pretty much the same except for a timer option that grabs the whole screen after 10 seconds.
Even better than OS X
My favorite non-native app is Skitch. It is very powerful for basic screen capturing as well as adding some quick notes, rectangles, and arrows. It's so great and saves a lot of time. To export images from it, just hit Command+E.
Extra Stuff - Capturing Long Web Pages
Sometimes you want to capture a web page, but only a little bit is on the screen at once. I use an extension in Firefox called Abduction or Screen Capture (by Google) on Chrome