I\'m using this shell command to make thumbnail from VIDEO_FILE from 123 second and save it to THUMBNAIL_FILE.
ffmpeg -i VIDEO_FILE -r 1 -ss 123 -f image2 THUMB
A small enhancement to Kirzilla's code: If you want to create PNG files (with compression), you can use the following code:
mplayer VIDEO_FILE -ss 00:10:11 -frames 1 -vo png:z=9:outdir=THUMBNAILS_DIRECTORY
This will probably create better thumbnails but of course with a larger size than JPEG.