The best app to record your display is clearly QuickTime Player, preinstalled with OS X. Just open this app, go to File menu (on the menu bar) > New Movie Recording.
Apart from that, there are third-party applications that have got more features as the ability to modify the recorded video with that app, without having to export it to another application. I recommend Screenflow > http://www.telestream.net/screenflow/overview.htm
Another option is to use "Photo Booth", preinstalled on OS X