Give Skitch a try. Though it produces .JPEG, not PDF. Then again, screen shots aren't PDF either.
If you need it to be a PDF, you'll have to use something to convert the screen shot first. I know there is an app out there that will do that, but can't remember the name. Hopefully someone else will pop by with the name of that, or a similar, app.
Because don't do it often, I'd probably take the long route. Create a document using another app like Pages or Keynote (depending on layout choices), importing the screen shot using the media option, then export/email it to myself as a PDF. From Mail I'd use Open In. . . to copy it to an app like GoodReader or PDF Expert and do my annotation there. With the previoulsy mentioned app you could skip a few of those steps, especially the email part.
Good luck.
Edit: PDF Converter is probably the app I was thinking about.
Edit Again: Just realized I can use the Scanner Pro app I already have to convert pictures to PDF and them open them in GoodReader or PDF Expert. Not optimized for this task, but easy enough.