Grab a mentioned because there used to be a preference pane add-on that allowed you the option of changing the format for grab (and the system...back in the tiff/10.1 days) called OrangePref from Freshly Squeezed Software. One of the tinker tool versions also had the ability to do that, as well as a command line hack. Evidentially that all died with 10.2 or 10.3.
Some of the 3rd party programs work well and some don't. IMO, SnapZ Pro X is too costly for general use but a great app if you're going to use the QT feature a lot. Otherwise, you're better off just using the built-in system and converting the shots if you need another format.
Unless you're placing them on the web, I'd leave them in PDF format. The file size is 1/2 as that of JPG for the same quality and there's very few programs (even MS Word will place then as regular pictures) that won't work with PDFs. If by some chance you do run into a problem, then you could alway convert it in Preview (10 seconds maybe?), another App (PS, Graphic Convertor, etc.), or go ahead and use folder actions to handle the task transparently.