It is sooo simple:
1) Run the app you want to get screenshot of
2) Press the home button at the same time as On button. Screen will flash white for a sec
3) Find the picture saved in your photos.
This is second amazing thing I have found out about iPhone in last few days. First was hidden button on the headphone mike that can start/stop running iPod music, pick up the ringing phone or (doubleclick) advance to next song. Very useful while walking ...