I currently use a Sony HandyCam. Pros: It is very tiny and light weight. Fits nicely in the palm of your hand and people around you barely notice you even are recording. It is also inexpensive ($250 or so). Cons: Picture is grainy in dim lit rooms even using the LED mini light that is built in. Also the internal mic is horrible outdoors and picks up wind sounds easily.
This is a great little camera for messing around and some home videos but if you are serious about filming magic or producing a DVD, you may want something better.
Samsung HMX-Q10 : P
the best camera I've seen in a long time. Full hd and portable. $300 at retail stores but got mine on sale for $250. Great deal for what I'm doing. I don't really film my self for magic but to get into short films.
Lighting is imperative as well. Outdoor lighting makes a huge difference on my Sony Handycam. I wish I had a better camera but that is what my wife bought me for X-mas and truthfully, I only make DVDs that need to be of high quality about once a year so it doesn't really warrant going out and buying $1,000 worth of lens, lights, microphones, green screen, etc. Oh well.