This from Apple Pro: Tip of the Week:

Okay, you probably already know the ol’ Shift-Command-3 shortcut for taking a screen capture of your entire screen, and you may even know about Shift-Command-4, which gives you a crosshair cursor so you can choose which area of the screen you want to capture. But perhaps the coolest, most-secret hidden capture shortcut is Shift-Control-Command-3 (or 4), which, instead of creating a file on your desktop, copies the capture into your Clipboard memory, so you can paste it where you want. (I use this to paste screen captures right into Photoshop.)