Fraps is a cool video capture application which works on DirectX or OpenGL games. It runs in the background and seems to have little effect on the performance of the game. It can be used to benchmark game performance(displays frames per second when the game is running), save game screenshots and record game videos in realtime.

Only catch is that Fraps is not free (The trial version allows you to capture 30 seconds of video) and will cost you $37. Latest version of Fraps is 2.8.2 and runs on Window 2000, XP and 2003. Fraps requires Directx 9.0c to be installed for the video capture to work.

Don’t have the money to buy Fraps? You check out Taksi - A free open source alternative to Fraps. But feature wise it is still behind fraps (but hey it is free!). I found the Taksi interface to be primitive compared to Fraps.

Further Reading
Download Fraps (2.8.2)
Download Taksi (0.7.6)