I just stumbled upon a very useful free tool that I didn’t know yet: Wink. Their own description from the website says:

Wink is a Tutorial and Presentation creation software, primarily aimed at creating tutorials on how to use software (like a tutor for MS-Word/Excel etc). Using Wink you can capture screenshots of your software, use images that you already have, type-in explanations for each step, create a navigation sequence complete with buttons, delays, titles etc and create a highly effective tutorial for your users.

I tried it and found a lot of useful functionality, like automatic capturing of screenshots based on mouse and keyboard actions. It’s also possible to customize the look of presentations completely and the author can create his own “Callouts” (those popup windows with attached arrows) with a builtin editor. Have a look at the product page for a complete description, download and everything!

Linux version

Some people may find a recent post in their support forums interesting: apparently a Linux version of Wink is available for beta testing. I haven’t tried that one, though.