This feature has been discussed many times, for example at Ubuntuforums, but there aren't really any perfect solutions apart from the workarounds listed on that forum, as none of the screenshot applications for Linux based systems seem to have the desired functionality.
However, it appears that Shutter can capture tall, scrolling webpages (and local file:/// locations) if you install the necessary plugin:
sudo apt-get install gnome-web-photo
Then restart shutter, click the globe to get this dialog and then enter the desired url.
In the resulting tall webpage further below I've tried to reduce the image quality and size a bit (it's just 31kb now).
You can also use this website screenshot feature for local uris such as file:///home/mike/bin but you only get a list view of the files, but a tall one at that. This may be of some use for you, but it probably isn't ideal.
Shutter doesn't currently support taking scrolling screenshots of your files in your file manager's windows, although the developer is said to be targeting 0.90 as the release that will include the new functionality, as noted at Launchpad. However, it doesn't seem to be in the latest release. There seems to be problems in implementing the functionality, as the developer notes that there are still 'several unsolved problems':
1) The scrolling is not the same in all application, e.g. firefox scrolls 50px and nautilus 35px when you use the mouse wheel
2) How to detect the last screenshot to take? I've a partly working solution here by comparing the screenshots...
It is a useful feature and one I will research further to see how it could be implemented, although at least scrolling webpages (as below) can be captured in Shutter with the gnome-web-photo plugin.
