I am running Mac OS X, and did a search for "dump", which should have found all the screenshots I've taken. It returned nothing. Where are they saved?

If you right click the application, or control click for you one button mousers, you'll see a "Show Package Contents" option. Click it, they're in there.

Thanks! That explains why Spotlight didn't find them. I rebuilt the database, and still found nothing, so I figured something odd was going on. Would be nice if they were in the ~/Library/Application Support directory, but at least I know where they are now.