During the process of trying to figure out what Compass is, I tried to watch the official Compass screencast. This was a mistake. Thinking of writing an introductory screencast for your product? Learn from their mistakes.
Keep It Short
No shit, the Compass screencast is an hour long. The only people who are going to watch that are people with a vested interest in the project, who presumably already know the material.
Keep your screencasts to around five minutes. You aren't PeepCode, and this thing isn't your documentation. If you can't keep a basic explanation of your product/service down to five minutes, you have bigger problems.
Show, Don't Tell
Up until about 2:20, the Compass screencast doesn't even change, and it takes another minute before there's any actual content on the screen. If the viewer wanted to read a thorough explanation of your product, they would have read the "about" page.
Start with a brief intro on what your product is, then jump right into the demonstration. Impress the viewer quickly and keep them impressed.
It's That Simple
That's all you need for an effective screencast. It's almost a definition: "short" and "demonstration". It's hard to go wrong.