Just to update the information on this, the nice little freeware app, here:
http://www.newmad.com/software.asp
getPDAScreen has been updated. It runs on the PC, and so saves you a step of having to copy the caps over thru activesync, and now also gives you the option of saving the caps as bmps or jpgs, too.
The best addition for me (thanks, Jonas!) is the use of 'gapi', as an option. If you use this, you can grab caps of the sorts of games I've had trouble with in the past, such as all the Handmark ones (Scrabble, Trivial Pursuit, etc.)
If you have used this in the past, be sure to delete the getscreen.exe from your pda's /windows directory. Then select "gapi" from the getPDAScreen window, and take the capture. It works like a charm.