I agree that a demo website is the most helpful. If your product requires data to illustrate its usefulness/features, do preload some data as well as provide a stage-by-stage walkthrough (e.g. try doing A, click B to do C, etc.). The only drawback is that a demo might be more time-consuming, resulting in sign-up friction. As an alternative to the demo, I have a 30-second video with screencasts baked in it. Also, never require sign-up information just to try a demo. If they're really interested, they would go for the trial, during which you can start capturing your leads.

Personally, I find screenshots rather unhelpful and, to some extent, fake. Sometimes it feels like vaporware. The best remedy to that sort of impression is to give a live demo.