On Windows, I use:
Fraps (EASILY worth the $37 purchase price) (* Since gaming with GuildWars is always on windows, I always capture on Windows.)
Windows media 9 Encoder (FREE)
On LINUX, I am getting into:
Kino (FREE and Excellent tools)
As for encoding a quality finished product, WMV9 and Xvid are the 2 of the best for both quality and compression...and they are FREE! Some MPEG4 encoders are also excellent, but NOT FREE.