Windows Media Encoder
You don't have to love everything Microsoft, but it's great that they make Windows Media Encoder 9 available for free.
Jon Udell: "Software companies bring in new users, capture their interactions with software on video, and make developers watch the videos. I've been on the receiving end of that treatment; it's painful. [...] Windows Media Encoder, coupled with blog technology, does enable anyone to spontaneously capture and post a screen video that can teach other users about an application, and/or to provide compelling feedback to the developer. [...] One final point for developers: try narrating a video of your own software sometime. It's humbling."