As Krazer notes in his answer, Screenshots are stored in
~/Library/Application Support/Blizzard/Diablo III/Screenshots. Unfortunately, this folder is hidden by default under OS X 10.7 Lion. This means that most users will have no clue how to access their screenshots.
There are three solutions to this.
The absolute simplest, but least persistent, is to, from the Finders Go menu, select
Go To Folder..., and type in the full path:
~/Library/Application Support/Blizzard/Diablo III/Screenshots.
If you'd like to have a desktop shortcut to your screenshots for frequent access, while still leaving the Library folder hidden, you can enter the following two commands in Terminal. This will create an alias on your desktop, which will link directly to your Diablo III Screenshots folder:
ln -s ~/Library/Application\ Support/Blizzard/Diablo\ III/Screenshots
Many thanks to William Voor over at Ask Different for this solution.
Alternately, for those comfortable with leaving
~/Library unhidden, you can open Terminal.app, (Located in
Applications/Utlities, or easily found using Spotlight) and type or paste in the command:
chflags nohidden ~/Library/
At which point, you can do whatever you want.