@Vexx: FRAPS works for me like a charm, although some conversion and resizing work needed to be done for large AVIs.
Yeah, I wish there was a replay feature for those astonishing finisher moves, like offing a dragon in its death throes or a shocking unarmed suplex.
@Renegade: there's now an Unofficial Dawnguard Patch (which also needs the Unofficial Skyrim Patch and should be loaded first before UDP in the mod list) that might solve more of your problems.