One of the great tools Microsoft Office Labs builds is "Community Clips", which makes it easy to record what happens on-screen, along with microphone-in, as a nicely-compressed WMV file.

I use the tool primarily as a way to show bugs or design issues to folks in Redmond... a 15-sec video with voiceover contains a LOT more data than I can type into an email, describe on the phone, or type into a bug report.

Now it's available to everyone:

http://www.officelabs.com/projects/communityclips/