I never really go out of my way to afford myself better ways to capture in-game images, like manually editing games to remove HUDs and fiddle with color correction, but I still find that I take as many screens as I can when I can. If a game supports screenshots, or any way to remove it's HUD I have a folder in my dropbox full of screens from that game. Since Borderlands is built on Unreal it uses a lot of 'kind to screenshots' console commands like 'togglehud off/on' and 'tiledshot'.
The following images just use 'tiledshot 6 516'.
If I feel lucky tonight I'll take more images, try for some 'action' shots with all the crazy physx crap going on or something. :)