I teach a research methods course, SPSS. I've found that synchronous demonstrations of how to set up and do an analysis in SPSS is the most effective method because students can ask questions and let you know if they are understanding. However, this is not always possible so a screen capture demonstration would be a good way to provide an illustration on a number of different types of analyses.
I'd be interested in hearing how others have used screen capture and if there are any tutorials on setting one up.