Michael Rose from TUAW discovered the change from the old Picture 1, Picture 2 format to a new format which uses the date and time of the screen shot.
The new naming convention looks like this: "Screen shot 2009-08-30 at 1.37.11 PM". This is much improved over the old format.
In the past if you took three screen shots they would be named Picture 1, Picture 2, and Picture 3. If you then deleted Picture 1 and took a fourth screen shot. It would be named Picture 1. You can see how this would get confusing.
A format with seconds and no spaces would have been preferred but at least screen shots in this format can be ordered better.