Throwing this in because all the tips are for Windows and you didn't mention your operating system:
The default QuickTime Player included since Mac OS X 10.6 can record your screen. Command-control-n brings up the screen recording controls, press the red button when you're ready.
It only records the whole screen, though; you'll need to get one of the many available paid apps that can record arbitrary sections of your screen like iShowU, ScreenFlow, Screenium, etc.