I use two methods depending on whether I'm doing a race or a tutorial

Races

Couldn't be simpler, I use a Logitech Quickcam Pro 9000 pointed at the screen. I use a computer monitor so I can pile up some DVDs to rest the webcam on at the right height. Built-in microphone records sound directly from the speakers. Files are saved directly to WMV format by the software. Unfortunately I can only upload to WeGame as YouTube doesn't recognise them as high quality.

Tutorials

As you can probably tell, the tutorials are a different prospect. The Logitech software is no good for the video here as the format it saves in is weird. Still using the webcam, I use CaptureFlux instead and record in raw AVI format with no audio. Thank god I've got a big hard drive as in this format six minutes of video comes out close to 10GB. Then I use Blaze Media Pro to compress the videos down to a slightly more respectable size (hundreds of MB rather than GB). After that, I compile the video in Adobe Premiere and use CaptureFlux again to record voiceovers. Then I render the final video as a Quicktime Movie using the Sorensen codec.

Using the webcam I'm restricted to 640x360 for recording Wipeout, any higher and the framerate drops to 15fps which is useless. Still does the job for YouTube and WeGame though.