|My Android Desktop snapped with this method|
If you look in your "Settings » Applications » Running Services" menu you should see a service called "ScreenCaptureService".
This allows you to take a screenshot by pressing the "Back" and "Home" buttons simultaneously.
What works for me is to press and hold "Back" and then to press and release "Home" (while holding "Back"). This makes a snapshot noise and displays a message. Files are saved to the ScreenCapture directory on your SD card and should appear in your gallery.
Of course this is a problem if you try to take a snapshot of a running application because pressing "back" causes it to quit. I could not find a workaround for this and there doesn't seem to be anything much on Google. I'm not sure if they did this deliberately or if for some reason the developers didn't consider this when implementing the system. It seems too obvious an oversight to be anything but deliberate to me.
For more recent versions of Android you should press the Power and Volume Down buttons together for 2-4 seconds.
If your phone has a physical button for the home button then you may need to try pressing power and your (physical) home button together for 2-4 seconds. Make sure you press them together.