How does Salman Khan make his screencasts?
He uses Camtasia Pro ($200) a Wacom tablet and (at least on the earliest videos) MS Paint. And a head mic. 

http://www.teachthought.com/technology/how-to-screencast-like-the-khan-academy/

On a mac, a similar piece of screen capture software would be Screenflow, although Khan works on a Windows machine:

http://www.telestream.net/screenflow/