A snapshot is a file that captures a still frame of the animation, so that it can be restored later exactly as it was, with no loss of information. Snapshots are captured using Take Snapshot, and restored using Load Snapshot.
Snapshots are vector-based: they store ring data, rather than pixels. This makes them much more compact than bitmaps, and resolution-independent, i.e. a snapshot can be zoomed without becoming pixelated.
Still frames should always be saved as snapshots, rather than bitmaps, because snapshots are non-lossy, save space, and are much more flexible. Snapshots can be printed, viewed as a slide show, or exported as bitmaps. Snapshots can also be edited to some extent. They can't be opened by other applications, but you can't have everything.
Still not convinced? Suppose you capture some frames by exporting bitmaps. They look fine on the screen, but when you print them, they're too small, and enlarging them makes them pixelated. You can't redo the exports, because the original frames are gone. If you had captured them as snapshots, you could restore and re-export them.