HTC Desire HD
I found this by accident. This works with HTC Desire HD. I then did a search and found that the trick has been there all this while (since the 3.5 upgrade) I read that it is a feature in HTC Sense 3.5 and higher, not sure if similar function is available for non HTC phones.
Press the standby/on button and the home button at the same time.
Key thing to remember is you have to be fast since the power button may also put the phone to sleep or holding it too long will cause the menu of shutdown/restart to pop up.
Seems that with Samsung S 2 the key combination is different:
Samsung Galaxy S2: Press and Hold down the HOME button and then press the POWER button.
If you upgrade to ICS, the key combination changes to:
Press Volume Down button & the Power Button at the SAME time to take a screenshot
For Galaxy S
Press the Back button in right bottom and hold it. While holding Back button now press Home button in the middle.