I've recently recorded a few game play video's for Fierce Game Hunting and have found a couple of cool programs that make the process remarkably easy and painless, which is really important if you want to be focusing on the game development rather than video editing. Some see the publishing of progress important for the marketing, others will only publish a trailer once the development is complete - up to you really about how much advanced publicity you're looking to achieve however these techniques are universally applicable.
Lets have a look at the initial video capture; for a game that is using DirectX hardware rendering, you will want a program which is going to be able to capture all of the frames in their original glory; it's worth noting that not all screen capture programs handle these sorts of scenarios. One program that handles this really well is TAKSI: Video capture/Screen capture for 3D graphics - Free & Open Source. Taksi takes the hard work out of working out what and how to record and as you probably have a version that runs on your PC (Unless your using Avatars or some such) then you will be good to go. It's a really easy program to use but doesn't appear to be that widely known about. The quality is really good and if your happy with the screen capture, the file can be uploaded directly to YouTube - I've done this with the Fierce Game Hunting - Game Play Preview 2 Video - I wanted to get it up quickly and this is certainly the shortest path to uploading a result.
Microsoft Expression Encoder 4
If you want to edit your game play preview (crop & remove some blemishes) & perhaps you want to encode it to WMV or Silverlight Experiences for a better file size before uploading - grab a copy of Microsoft Expression Encoder 4 for Free - that's right, this great product - it's actually free. There is a Pro Version as well and you can see from the Feature Comparison Page there are a few restrictions on the Free version (not the trail for the Pro, the free version :-) such as the video's being limited to 10 minutes and that the full range of input formats isn't available but if your using it with Taksi, you have a perfect match for input formats, quality and editing. Pro's certainly worth considering if your looking to edit much longer video's or you need additional export/import formats, but for those Indie game developers out there, it's probably not a necessarily requirement.
Hope this helps some more XNA Indies get the word out about what they have been working on, these programs have helped me heaps and they haven't got the level of recognition they deserve.