You must have iPhone 2.0 firmware installed to use the screenshot feature.
Just hold down the 'Sleep/Wake' button and the 'Home' button, you will see the screen flash white.
And that is it your image will appear in the photo application's Camera Roll. You can sync it to you PC or MAC just like a normal photo.
I have tried this in many different application and it works. So i am sure you can take screenshots of you games and everything else.