Try a DSLR or dedicated vid camera to show off your phone or just download software to record the material in question.. There are a bunch around. Use the trial version to test the game.
I've not tried this yet but I would get some mac screen capture software and iSimulate (which allows you to control the simulation on your mac from your actual device. I'd probably set the background to a solid, plain colour and then use any number of video editing app's to crop and greenscreen as necessary
There's a free video capturing plug-in for the simulator available here: http://davidbeckblog.com/2009/10/iphone-screen-capture/ It currently doesn't capture audio but it shouldn't cause too much difficulty to add that in if you have video editing software. Otherwise, there are paid apps which can capture audio such as this one: http://www.ambrosiasw.com/utilities/snapzprox/ As you can see they aren't cheap.
I use iShowU HD for recording the simulator for my apps. The price was right $30 for what I needed it for. If you need to record 2 devices at once though (which I recently had to do for my latest App) then invest in a tripod, hehe. Also capturing the the screen is a pain (when using a camcorder)...I tried different settings and none seemed to show off the screen like you seen in commercials (pro videographer I am not).
