Video & Audio capture program?

I’ve worked with snag-it but I want something more powerful. Does anyone know of a software that can capture video as well as audio from another mediaplayer running the multimedia? For instance, Quick Time and Windows Media Player plays media (more to the point, video with audio like a clip or show) and I want to be able to capture it as a file be it mpeg, wma… what have you. Any suggestions? Free? Cost? How much? Maybe I want to capture my online game play or a preview of a movie to file. Ive heard of it but I dont know anything about the software or what it might be called.

most online games have some kind of recording function built in. counterstrike has the “demo” function, and can even build movies from the in-game console.