I have different things that I use for different situations so I will give you both setups.
PC Gaming:
Fraps (Not used as much anymore)
Mirillis Action! (My normal software and I love it)
Camtasia Pro (Don't use it to record with, but best editor I have ever owned)
Console Gaming:
HD PVR (In a box somewhere)
Elgato Game Capture HD (Don't use it anymore but I loved it)
Elgato Game Capture HD60 (Wonderful upgrade and constantly updated)
Here is the thing though, I honestly don't record much of console games anymore so I basically stick with my PC.