It takes the shot in .bmp for maximum quality, but I'd love to see at least an option to take screens in .jpeg format. Rids people of the trouble of making high quality conversions to jpg, because Paint just doesn't cut it. I use GIMP to convert screens.
+1 for option - as Andriod says, compressing can take up valuable CPU time, as I understand it. So you might want to leave them as .BMPs when you're racing, but I agree that .PNG is by far and away the best option most of the time.
PNGs would still be quite large and would need a conversion to JPG if you planned to use them on the web. PNGs are not very good at images with a lot of non-solid surfaces like screenshots from games.
Sure they are smaller, but it doesn't really help. You still need to convert them so you might as well keep the BMPs.
Maybe have an option for JPGs, so you can have small files if you don't need perfect quality.