Free solution:

* Keynote can record a running presentation with the mic-audio. 
* QuickTime X has also a screenrecord-feature incl. audio. 

Lowcost solution:

* Specialized screenrecording software like ScreenFlow, Camtasia, Screenflick, Screenium, etc. 

Prof. solution:

* Capture hardware like Ninja Atomos, HyperDeck Shuttle, Intensity Pro, Aja IO, etc. can record directly with ProRes-Codec.