Though when I've tried to capture on the same machine the game is running on framerates seem to drop. I'd be interested to know if you have better luck than I did.
And cuz I gotta say it, ya don't need to use caps locks to get an answer.
If it's a Quake 3 based games (Quake 3, Wolfenstien, COD, etc). you can record a demo them cnovert it to still frames. At www.planetquake.com they also just posted a util to convert demos directly to AVI.
If it's anything else (that can't be exported) I hook it up to my VCR with with my TV Out and some 1/8" to left-right RCA converters. I record it, then play back. I use VHS but I HIGHLY recomend MiniDV. IT will look much better (even better still if you use s-video). If you don't hhave a 3d card with TV out, you can buy "older" radeon's or nvidia's cheap on www.pricewatch.com (by older I mean Radoen 8500 & Geforce 3 & 4).