I use Snag It, but it's not free. Here's a shareware version, but I don't know if the shareware version allows you to capture avi (more accurately Direct X).
To watch avi. movies you need to get an avi codec, so like jod said go for the div-x player
When I take screen shots I like to use acdsee and when I want to record whats on my screen I have a program called screen recorder gold (it is shareware)