In these competitive days, someone who has built something, and knows how to show it off, is miles ahead of someone who only has done some coding at school.
Screencasts are a very effective way of showing off what you have built. They are worlds more accessible than some code that has to be compiled, downloaded, and executed before it can be seen.
You can find some good screencasting tools for windows in these articles at Lifehacker and TheELearningSite. Make sure you use a tool that lets you keep a copy of the result; last thing you want is to have a video online that disappears with the site! For OSX, see this article.