You're using command-shift-3/4/whatever, right? When you hit command-shift-4, do you get the crosshairs like you should? If not, that's pretty odd, but I'd have to think that something you've installed (maybe a macro/shortcut application?) is interfering with that key combination.
If you do get the crosshairs, but no image is saved to the desktop, then I have to think either the permissions are messed up in some way that's preventing it from being saved, or maybe you used a tool like TinkerTool to change the format or save location and that's got something screwed up.
Have you installed any hacks/extensions/system tweaks?