I really missed the feature of just pasting an image (e.g. made with a screenshot tool) into the WordPress editor. I know found a small tool which almost does that. It is called PicturePaste. And it just adds one additional small step between the normal copy / paste operation.
I am using the Home Host version of the tool which allows me to configure my own FTP server to upload the images (so they are just automatically saved into my WordPress media folder).
So from now on I will more often use screenshots in my blog entries, which I did avoid in the past because of the additional effort of first saving them to disk, uploading them to the media gallery and then pasting the link into the editor.