Cheapest way is a Gamebridge (
http://www.adaptec.com/en-US/support/Video/prod/AVC-1400/). They cost something like $10-20 US and get the job done. You can go the more expensive route and get a proper video capture card if you really want but I'd only do that if you're serious about it. I was mildly interested in this myself for a while but quickly realized it was way too much effort to make something semi-decent. I'm rather glad that I didn't shell out hundreds of dollars on equipment and software before hand.
Well.... You can run a ROM and capture it with either the software or a webcam. Or just use a plain old camcorder.
Reviews that use that method look terrible and are mercilessly mocked by everyone. It's a waste of time. If you want to capture footage from ROMs, you pretty much need to use recording software like fraps or cam-tasia.