Audcaity is quite good, its simple fast and easy to use. To record stuff that you are hearing fire up Audacity, then go:
1. Edit --> Preferences
2. Click the Audio I/O tab if not already selected
3. Select the Recording Device drop down box and select What U Hear (this may differ depending on your soundcard)
4. Hit the OK button
5. Press the Record button
For me I don't have to bother with this stuff as I use a mixing desk and all my audio is fed back into the soundcard. I hope this is what you were looking for.
Thanks!