Well, right now there is no third part tool for capturing screenshots on Windows Phone 7; nor is this feature expected to come soon. Till then, you might want to check out these 3 posts!

Windows Phone 7 Screen Capture
I’ve done a fair amount of Windows Phone 7 screen capture over the last few weeks so I thought it might be worth sharing my approach both for video and stills. In particular, when you submit your application to MarketPlace you must include a screenshot in PNG format with dimensions 480×800 pixels. The Windows Phone 7 Application Certification Requirements document states:
For each application, you must provide at least one or up to a maximum of eight screenshots. The users see this screenshot in the details page of the catalog before they make a purchase. The screenshot should be a direct capture of the phone screen or emulator. Graphically- enhanced screenshots are not allowed.
More here!
RedBit Screen Capture.
I decided to create a quick sample app that captures the screen on both platforms to compare the code. The sample app basically just places the captured screen inside a pictureBox control (NETCF 3.5) or Image control (Silverlight for WP7). The outer PictureBox/Image control just displays some standard images that come with Windows 7.
Go here for more!
WP7 Screenshot Tool
As an iPhone developer I was a big fan of the iPhone Simulator Cropper that a company called Curious Times had developed. This was one tool that I truly missed when I started working on a version of our iPhone app Cardinal for Windows Phone 7.
Details here.
Thanks Vikram, MVP, for the heads up!
Also see this tool.
If you have liked this post, you might want to check out some more, on topics like Screen Capture, WP7.