In Windows, we could use Camtasia to record our activity in our screen. I thought that would be impossible to be done in Linux, but i was wrong. I use RecordMyDesktop which is able to record what you are doing on your own desktop and this is for Linux/Unix platform. This application also has 2 frontends: pyGtk (gtk-recordMyDesktop) and pyQt4 (qt-recordMyDesktop). I compiled both of them and works great on my Slackware Linux desktop.
I will use it to produce my own video for demonstrating to do something on Linux or even to teach my students on some of my course (computer security for example).