Jon Udell outlines his steps for creating a typical screencast in Screencasting Strategies. Personally I still think he's working too hard at it. I learned to screencast with Qarbon ViewletBuilder (also available for the Mac, though they still seem to have that sound problem), which only allows the user to take a series of sceenshots and then provides the appearance of animation by stitching those shots together and animating the mouse movement. As a result, even when using Macromedia Captivate I still prefer taking the shot when I want, rather than record the entire session, with the potential for extraneous mouse movement, page loading issues, etc. that Jon notes.
The other thing I can't believe Jon does is narrate as he's capturing! I always capture first and then go back and narrate. This way if I screw up a capture I can grab another shot, or if I screw up a narration I can just re-voice, but never do I have to start from scratch or have several takes to get a job done.
I've got a copy of Camtasia Studio on my desk and am waiting for time to try it. Maybe different tools invite different approaches (probably).