Yeah,
Fraps is pretty popular. You can use most functionality of it if you accept a watermark in the video. Open source alternatives (as in free) are
CamStudio and
Taksi. All this is Windows only.
Under *nix you usually use
xvidcap, which should be installable by your distribution's program repository. Other software is for example
Istanbul and
Byzanz, but both haven't seen updates since 2006.