iShowU is a great low price OS X screen recording tool. I don't know of any high quality low cost tools for XP though. Until Jon Udell pointed me to TechSmith's Jing Project.
Free for now, which is a bit odd since TechSmith sells Camtasia -- which is very much not free.
Update 12/31/07: Jon Udell mentions Microsoft's SharedView.
Update 1/7/08: Udell also mentions Windows Media Encoder will do screen cast recording. Also I see the business plan for Jing -- it's tied to a media sharing service. That makes more sense! It won't work for corporate use then, and TechSmith sells Camtasia to corporations. SharedView is similarly tied to Microsoft Live. Windows Media Encoder screencasting looks like it's SilverLight based though I'm still following up.
No breakthroughs so far!