I have used the screen capture programs SnagIt and Camtasia from my friends at TechSmith for over 10 years now. Screen capturing is an excellent way to communicate something without just relying on words or excellent documenting a process. With the newer software applications being developed these days some like AutoCAD 2009 using XAML are using application frameworks that can be tricky to capture.
When trying to capture or record a single full application window that is using application frames you might find yourself with a small portion of what you wanted to capture or just screen capturing the full desktop and then editing items like the system task menu out which neither are fun.
Hope this helps.