It depends. Are you using a convertor or simply saving it as a .jpg format? .jpg will normally be slightly worse quality than a .png file but in the end it really depends on what you're trying to screenshot.
Take a look at the following quote, it might help.

Quote: Originally Posted by
http://www.labnol.org/software/tutorials/jpeg-vs-png-image-quality-or-bandwidth/5385/ GIF format is limited to 256 colors and is a lossless compression file format, a common choice for use on the Web. GIF is a good choice for storing line drawings, text, and iconic graphics at a small file size.
PNG format is a lossless compression file format, which makes it a common choice for use on the Web. PNG is a good choice for storing line drawings, text, and iconic graphics at a small file size.
JPG format is a lossy compressed file format. This makes it useful for storing photographs at a smaller size than a BMP. JPG is a common choice for use on the Web because it is compressed. For storing line drawings, text, and iconic graphics at a smaller file size, GIF or PNG are better choices because they are lossless.