What I do is I open whatever I want to do in the iPhone Simulator and then use a screen recording tool on my Mac. Obviously this is limited to your own compiled apps and the Safari web browser but if that is all you are using then it works very well, plus you can record the fake iPhone hardware which appears as a frame around the iPhone simulator. Just stick a white background behind the simulator. Does anyone know how they do of at keynotes? I they must have video out for the whole iPhone OS at least for their demos, maybe they do a bit of hackery to do it?
Otherwise, film your iPhone close-up in a dark room so you can only see the screen-then try cropping that screen portion out, just make sure the camera and the phone are both still at all times- tripod and table required!