Converting to CMYK color for printing can cause problems with fuzzy or blurry black text with some printing methods. By default, in most software RGB to CMYK conversions black is not plain black. Black areas print with a certain amount of cyan, magenta, and yellow inks. Due to the way printing presses work it is possible that the different colors will shift slightly causing fuzzy edges all around black areas. If color isn't necessary, consider converting the screen shot to grayscale. This can save printing costs as well as improve the appearance of some screen shots. Experiment with the color schemes on your screen before taking the screen shots some color combinations work better in grayscale than others.
Getting Better Screen Shots