Make sure your preview quality is set at "Best (Full)" when you export the still.
Make sure your project properties match your video media (File > Project Properties > Video tab > Match Media Settings (yellow folder top right in the dialogue box)).
If you're working with interlaced footage, get rid of the "jaggies" by deinterlacing. Do this temporarily in Vegas prior to exporting the still (File > Project Properties > Video tab > Field order > None (progressive scan) and make sure you have a deinterlace method set on the same dialog - mine is usually "blend"). Remember to set project properties back to match your video media again afterwards if you're going to be doing video editing.
Personally I export an interlaced still and deinterlace it in Photoshop afterwards (Filter > Video > De-interlace).
Besides the "Save Snapshot to File" command you can also "Copy Snapshot to Clipboard" using the icon next to it and then paste that into another program. In some circumstances you can get a slightly different resolution using that method.