Using VTKRecorder and Paraview
Use VTKRecorder engine (see docs), it will save snapshots to *.vtu files. Those can be opened with paraview (http://www.paraview.org), then rendered and saved as video directly.
Taking video from the screen
With xvidcap and mencoder it was possible to record all the videos presented on this website.
For debian/ubuntu 'xvidcap' and 'mencoder' can be found here:
deb http://www.debian-multimedia.org etch main
You need to add above line to your /etc/apt/sources.list, but first check if 'xvidcap' is already available for your linux distribution. You can also try to download xvidcap from its home page. Program 'mencoder' is a part of mplayer package, from debian-multimedia. And 'convert' is from imagemagick package, every linux distribution has it.
Running xvidcap is easy, so when you have all the pictures, you can convert them to .png and then encode them to make a video:
for m in *.xwd; do convert $m `basename $m .xwd`.png; rm $m; done mencoder "mf://*.png" -o video.mpg -mf fps=25 -ovc lavc -lavcopts vcodec=msmpeg4v2
The codec msmpeg4v2 is by my experience most popular on windows, and I had least amount of problems with it when I wanted a video to run on some windows machine.