Heads up! This blog post hasn't been updated in over 2 years. CodePen is an ever changing place, so if this post references features, you're probably better off checking the docs. Get in touch with support if you have further questions.
Just wanted to quickly mention that we upgraded some of our screenshot infrastructure. The latest version of PhantomJS is producing much nicer screenshots than it was before. We've also purchased more servers to load balance across so there is less wait time for a Pen's screenshot to be upgraded. Cool fact: our screenshot servers are dedicated Mac Mini's hosted at Mac Stadium, because we think they make nicer screenshots.
If you're like "Pens have screenshots?!", indeed they do. They are used for things like social media (post a link to a Pen, get an image preview), browsing via mobile device (for performance reasons), and you can even change your user settings to always browser with images instead of iframes, if you wish.
We have ideas to make screenshots even more better, so stay tuned for that.