Or, anywhere outside "userspace?" For example, the login screen, or in Single User Mode.
Where OS X is booted but you can't take a screenshot because you're not logged in (e.g. the login screen, lock screen) you can take a screenshot over SSH. Connect over SSH to your Mac and run…
Where OS X isn't displaying a GUI (e.g. single user mode, boot sequence), you can't take a screenshot. This doesn't apply to virtual machines though, if you're determined to get a screenshot.