You need to get a video capture card an it's respective software. The devices can range from $90-200+. Make sure if you use this method you get one that is compatible with Macs. The plus side to getting a capture card is that you can use it for things other than video game recordings like converting VHS cassettes to DVDs.
Or you can go to GeeVee.com create an account and Use the GRAB service they have. The only set backs with this method is that it records the dumb little time bar so if you plan on making a video with it yould have to crop that out that you can do pretty easily in iMovie. The other problem is that you can't download your videos from GeeVee to edit it so you need a screen capture program like Snapz Pro X for Macs. There are no good free ones that I have found like for PC's so you'll need to by one =/. Snapz is the best that I know of. It's like $20.
EDIT: And after I answer the joker above edits his post to sound more logical. It's people like him who ruin Halo 3. CoD4 ftw.
EDIT: Oh I've been to GeeVee and wasted time making an account only for the video to take 2 days to upload, have a time bar in the way, and have no way of obtaining the file. Great service...really.