The software I'm talking about is Camtasia, and its far from shitty. Very professional and I have gotten fabulous results recording my kaillera KOF matches.
If you do purchase it, when you record make sure you keep the screen size the smallest you can. (if you are using hardware stretch on mame, put it to 1x). Because recording on your computer is very intensive.
After making the AVI, you have several options to compress it. I often compress it enough so its viewable, while making sure the size is small so 56kers won't have a problem watching it.
Before compressing, you can take out the game music and add your own, add title screens, and other stuff to make it nice. (Actually, you might want to use Adobe AfterEffects for that stuff).
Here's one I made long way back, if you think I compressed too hard, well..1.5 megs for 42 secs is not bad for that kind of quality.
http://mysite.verizon.net/res03res/kof2003kyuri.zip