In Windows Phone 8 you are able to save a screenshot by holding both the power button (often side of phone) and the Windows button (middle button under the screen) for some time. Such screenshots are saved in the Screenshot album of the Picture Hub.
For normal users (no developers) in Windows Phone 7.5 and earlier there is no way to make a screenshot of your phone except using another camera(phone) to do it. I think this is still the case in the Windows Phone 7.8 update that brings the smaller home screen tiles from Windows Phone 8.