How do I take a screenshot?
Hit Print Screen. The screenshots are automatically saved as JPGs in your [User]\Documents\Diablo III\Screenshots folder. You can rebind this shortcut in settings as LessPop and Augustus note.
You do not need to paste an image into a graphics program (e.g. Paint) and save that, if you do, you will get nothing/garbage as you note.
Mac Users can use Command ⌘ + Shift + 3. It will save to your desktop as a .png file named with the current date and time.