Taking screenshots in OS X is quite different from taking screenshots in Windows. You probably noticed Apple keyboards don't have a dedicated Screenshot button. Annoying, yes. But the variety of built-in screenshot tools probably makes up for it.
Capture the entire screen to a file: command+shift+3 takes a screenshot of the entire screen, and saves it as an image file on your desktop.
Capture the entire screen to the clipboard: command+control+shift+3 is the same as above, but the image is simply stored to the clipboard. This is equivalent to Microsoft's dedicated Screenshot button included on most keyboards.
Capture a portion of the screen to a file: command+shift+4 allows you to drag a rectangle across the screen and capture only a small portion.
Capture a portion of the screen to the clipboard: command+control+shift+4 is the same as above, but the image is simply stored to the clipboard.
Capture a window to a file: command+shift+4 (same as above), but then press space to be greeted by a camera cursor that highlights the window you hover over. Click a window to take a screenshot of a window and save it as a file on the desktop. OS X even bothers to include a shadow effect around the window.
Capture a window to the clipboard: command+control+shift+4, followed by space is the same as above, but the image is simply stored to the clipboard.
If keyboard shortcuts aren't your thing, you can also try out the Grab application bundled in OS X: /Applications/Utilities/Grab
