JPG, GIF, and PNG are by far the most popular image formats found on the web, since they are well-supported by browsers and are relatively small in file size.
JPG is a lossy file format; JPG screenshots are slightly worse in image quality than those saved in lossless formats, particularly when high compression settings are used. However, this doesn't always matter; this compression is offset by the small file sizes that can be obtained, and if you resize your screenshots (There is a stipulation, for example, that screenshots displayed in this website be no more than 550 pixels wide) you're obviously not going to get pixel-by-pixel-accurate quality anyway. JPG would be better suited to screenshots involving, say, gradients or photo-like compositions.
GIF and PNG are (usually) lossless file formats, so they are often superior in image quality, but larger in file size, than JPG. GIF is an older format, is better-supported by old browsers, and is capable of implementing animations. PNG is a newer and (in some ways) superior format; the format can handle more colors, and PNG files may be smaller in file size than equivalent GIFs. In a few cases (with simple screenshots involving very few colors, for example), GIF may be smaller.
My recommendations:
Use JPG if you intend to resize your screenshots or your screenshots have complex graphic designs or patterns as opposed to simple colors and patterns. Otherwise, use PNG. (or GIF if the screenshot is very simple.)
UserAgent: Mozilla/5.0 (Windows; U; Win95; en-US; rv:1.7.5) Gecko/20041107 Firefox/1.0