What’s the best way to create screenshots with callouts to show features of a program?

I'm redesigning a website for a downloadable app. I'd like to create a Tour of the features which has screenshots pointing out how to use it.

What are the best tools for doing this?

For bonus points, how would I go about creating something as nice as what appears in Head First books or on Kathy Sierra's blog?

Result: I've given the answer to SnagIt. Jing is good and super simple but too limiting. I'm going to be using this tool a lot in the future. Is Jing or SnagIt the best? SnagIt wins because it's more comprehensive. Cost is not a consideration.