It is built in
Press Command, Shift and 3 together at the same time and you'll hear a click sound and you have a Picture #.pdf appear on your desktop. This file is a picture of your entire screen when you took it. If you open the PDF in Preview, you can export it as a jpg, png or gif, or a few other file formats.
There is also Command, Shift and 4, which allows you to select an area to take the picture of, or if you click on a window, it will take the picture of the window.
There is also the application Grab that comes with the system that does the same thing, but allows for timed screenshots.
A positively awesome app for taking screenshots, and movies of what you are doing on screen is
Ambrosia Software's Snapz Pro X. Version 2 is coming out soon, and is a complete rewrite and all the beta testers have given it immense praise. However it is shareware and it will cost you some $$ to register it.