On a Mac you can capture the screen, capture an active or inactive window (even one that is mostly obscured by other windows), and capture multiple windows or a small section of a window or the desktop. You do not have to save them, they are all saved automatically. All of these captures become individual graphic files on the Desktop.
If you're taking many screenshots at one time, do this:
As mentioned above, you don't have to do any of that on a Mac. Just take as many captures as you want. and they are saved to the desktop. You can file them later, convert them to other formats, whatever.
Actually Preview does this a lot easier, just use the "grab" feature. Grab as many window, or selections as you want then drag and drop from the side window.
"Preview" is a Mac OS X freebie.