My Desire HD, which is running original (non-rooted) Orange system software, was recently updated to Android 2.3.5 (Gingerbread) and HTC Sense 3.0. Along with all the UI improvements and improved battery performance came a very cool feature: The ability to capture screens built into the system.
To capture a screen (take a screenshot) with an updated Desire HD, hold down the power button while pressing the Home key. By default, the phone will make a camera shutter sound to let you know it captured the screen.
This same procedure will work on some other updated (Android 2.3.5, HTC Sense 3) HTC phones, and apparently on Apple iPhones as well (which they will teach you FOR FREE at your local Genius bar!).