Usually a window Screen Shot in OSX comes with a huge (40px) border that provides an aesthetic shadow. Unfortunately it makes the Screen Shots huge! Further, while you can't shrink the size of the shadow (which would be nice) you can turn it off completely.

Look at that ghostly shadow!

On the command line run:

defaults write com.apple.screencapture disable-shadow -bool true  

Then need to restart SystemUIServer by killing it:

killall SystemUIServer  

Then a quick Screen Shot with Command Shift 4, then space will give you Screen Shot without a shadow:

Clean and Sharp

To reverse things run the following:

defaults write com.apple.screencapture disable-shadow -bool false  

Easy.