With version 10.4, Apple moved from PDF to PNG, which was way more sensible, but still there was no way to set it to another format.
The default file format for screenshots in OS X (created via cmd-shift-4 usually) has changed over time.
At first it was TIFF.
Then someone figured out how to set it to whatever you wanted.
Most people set it to JPEG.
Then version 10.2 of OS X came out and the format changed to PDF, and there was no way to change it.
Well actually, that’s not true as it turns out, and there is a new app that lets you do it.
It’s called SCIT which stands for “Screen Capture Image Type”.
Go get it. Now.