I have always noticed that people had these type of things on the iPhone but never put much thought into it until I recently moved into a iPhone myself. I noticed in the application store that people were selling screen shot tools and even had free ones for use. When I stumbled upon how to do this without the need of an App.
To take a screenshot, just hold down the home button while quickly pressing the sleep/wake button at the top of the phone. You will noticed the screen does a little flash and even hear the camera shutter sound. And there you go. You now have a image saved with the other photos on the phone.