Ilium Software has just released an update to their Screen Capture utility for Windows Mobile devices. I haven't downloaded it yet but I think this saves files in PNG format, which is quite a bit smaller than the old BMP format the previous version used. It is available for WinMo 5 and 6.x devices, both Professional and Standard. If you are still using WinMo 2003SE or earlier, you'll need to continue using the older version.
Just like the previous version, this one is free.