Besides filming yourself, you can also do screen captures (ScreenFlow for Macs and Camtasia for PCs are great options), slideshows, and use Keynote or PowerPoint slides to tell your story.
A video helps to explain a product/concept that is quite innovative and/or difficult to show without seeing it. This is especially relevant for sectors like IT, consulting, pharmaceutical or other sciences. For web companies, videos are great tools to show how simple and intuitive your interface is. Companies that demonstrate concrete benefits to their clients usually have a great ROI on their videos.
We recently produced this video for Polyglass to demonstrate how easy it is to enroll and participate in their rewards program.