I use Rally similarly to DanN when filing screenshots against a defect or user story. I also use a utility called Gadwin PrintScreen (Windows only) which allows you to rubberband an area of the screen and write it to a file or copy it to the clipboard easily. For those Windows users, you should check it out.
We were using Fogbugz before. among its limitations, it did have a great utility that lives on the task bar which gives a user a one click copy/paste of a screen shot to a new or existing case.
Jim, the Rally Screen Capture tool does this, and has some nice enhancements coming out with our 2009.1 release on Saturday.