Depending on your video card, you *might* have a solution built in. Radeon has ReLive and Nvidia has Shadowplay.
My personal computer has ReLive on it, and it has very little impact on the system as it is recording.
If those are not an option, I have had good luck using x-split (paid program) in the past to capture my screen. It is primarily meant for streaming video live, but has good options to record locally.
A free one is FRAPS, but that program, last i tried it, recorded in a raw uncompressed format and the files get big in a hurry.
Hope this helps out a little bit.