Short of using a video camera, no.
Many youtube videos for demonstrating iPhone applications are made with a screen grabber application (such as iShowU, ScreenFlow, or Snapz Pro) and the simulator. Be aware that the speed of response in the simulator can be dramatically different than a device - so it's possible to get effects (and miss) with the simulator you'll never see on a device. In particular, default animations can flash by in the simulator, where they just look quick on a device.