FCEUX - NES Emulator has a built in AVI recorder. One of the best imo
SNES9x - SNES Emulator has a built in AVI recorder, but you can not hear any sound while recording.
VBA - GameBoy Advance Emulator has a built in AVI recorder, but the sound can desync. The one I use that doesn't desync audio is vba-v24m-svn422. But it is a great emulator to also record regular GameBoy and GameBoy Color games.
KEGA - Sega Emulator which can record 32x,Genesis,Master System,Game Gear,Sega CD, etc.
MAME Plus Plus 0.019 has a built in avi recorder, but you have to enable the option in MAME itself under Special Option. Once you set that up, you can record pretty much any arcade games. There are some that require screen recorders to record them properly.
DeSmuME is a nice NDS emulator that also features a avi recorder. It can run slow while recording, but the videos come out just fine once recording is over.
That is just some of my experience with built in avi recorders. I'm pretty sure I'm missing a few, but these are the ones I use the most.