Video tutorials: how to add labels, comments, arrows etc
Camtasia Studio (and many others) is such a software (for Windows, you didn't state OS).

It's a screen recorder which in post allow you to add labels, pop-outs, arrows, text-boxes, zooms and pans etc, as well as letting you do basic editing.

I am recommending this one because I have personal experience with it, but that isn't to say other similar software isn't as good or worse/better.