My current podcast recording setup:

Screen capture: CamStudio
Worth taking a look at the blog - sometimes there are links to newer versions there.
Tips:
- setup the temporary directory to a disk with a lot of space
Issues I've stumbled on:
- [happens every time] the 'cursor from file' setting is reset after closing the application
- [happened once or twice] sometimes the recording area markers move a little by themselves (and I think they are dragable as well)
- [happens every time] for some reason I cannot set up any audio volume related settings
- [happens every time] on a system with dual-head displays after hibernation the recorded display is switched to the other one (it seems to have weak multi-display support anyway)
- [happened once] during long recording sessions (40-60 minutes) sometimes the audio/video from last couple of minutes gets lost

Codec (lossy): Xvid
A good codec for compression and realtime recording withcompression if there is no fancy hi-frame animation on the screen.
Tips:
- start by turning off the 'display statistics' option :)
Issues I've stumbled on:
- Xvid compression was way to slow on my machine to compress on-the-fly (realtime) fancy animations (see below)

Codec (lossless): Lagarith
I've tested a few different codecs and this one seems the only one that my Virtualdub didn't have problems recompressing.
Tips:
- good for recording of more fancy hi-speed animations
- [obvious] recompress to Xvid after recording

Recompression: VirtualDub
Really useful tool for minor editing and recompression.

Mic: ECM-190USB
Easy to setup (ehm... you plug it in...) and use. Nice sound quality for semi-pro vocal-only recording. I went for a soundcard-in-mic because I don't own any "real" soundcard and the built-in ones I have introduced a lot of noise.
mikrofonmikrofonmikrofon

Other software/hardware:
- MS Paint as a blackboard + Wacom Bamboo tablet (the older series)
- Prezi for slides (if I have time to do them)

Still looking for...
- a decent video editing software