PNG, converted to 256 colors *without* dithering. Disable background images before taking screenshot.
This dithering/anti-aliasing thing is a problem. When creating images for print presentation, dithering causes unwanted effects in the final output. This occurs in any area on the graphic that has a smooth blend of colors, such as Dark-blue fading to Light-blue, as in title bars on dialog boxes in Win 2K, or the 3D ("plastic") title bar in Win XP and beyond. For regular photographs, this presents no problem. But for screen captures of dialog boxes with text areas, the output is not so good when viewed onscreen, and still worse when printed. You end up with moiré patterns.
The effect is also pronounced in text. Anti-aliasing creates a very fuzzy outline.
To get a non-dithered image, save it as a PNG, at 256 colors, as mentioned by f0dder above. You can also save it as a GIF with the same format. Or even BMP. The PNG can be marginally smaller than GIF. But some older page formatting software can’t handle PNG.
To get non-aliased text, turn off the “smooth edges of screen fonts” in My Computer > Properties > Advanced > Settings. And in Display Properties > Appearance > Effects, un-check the “use the following methods to smooth screen fonts.”