To capture the screen on OS X :

⇧⌘4 : Selected area to capture.
⇧⌘4-space : Capture a window.

These are defined in the System Preferences.

OS X Screen Capture

To change the captured image from the Terminal (/Applications/Utilities/Terminal.app) type

Jpeg:

defaults write com.apple.screencapture type jpg
killall SystemUIServer

PNG

defaults write com.apple.screencapture type png
killall SystemUIServer

Tiff

defaults write com.apple.screencapture type tiff
killall SystemUIServer

PDF

defaults write com.apple.screencapture type pdf
killall SystemUIServer