Update: This technique also now works with the iPhone 4S.
Update: See episode 702 for a new method of doing this.
Learn how I capture the iPad 2's screen to use in presentations and video podcasts. You must use the iPad 2 plus the HDMi adapter. Then bring the HDMI in to your Mac or recording device using special hardware and software.
Check out MacMost Now 546: iPad Video Screen Capture at YouTube for closed captioning and more options.
OR, you can simply jailbreak and use DisplayRecorder to record what's on the display. Obviously isn't available for the iPad 2 yet.