Keyboard Maestro 6.2
Zeitler. Keyboard Maestro 6.2 also offers a number of bug fixes. ($36 new with a 20 percent discount for TidBITS members, free update, $25 upgrade from previous versions, 25.4 MB, release notes)
Every time they come out with a new version, I look for a "watchme" function ala QuicKeys, which allowed a macro to crudely build itself, then allowed me to trim it down and speed it up by deleting unnecessary steps. Strangely, they have never added that. Saving time being the whole purpose of a macro program, I won't be interested until they do. Even MouseTracks, the 1st Mac macro program, did that.
I can't recall if it is as good at this as QuicKeys was (too long ago, now!) but there is a Record feature in Keyboard Maestro (View menu or button on Editor Window) that seems to be what you are asking for.
'Take Control of Keyboard Maestro' would be very welcome! I struggle with using variables and find the documentation, while welcome, assumes too much prior knowledge. Bundle with 'Take Control of AppleScript', please.
Update: just spotted the earlier item - http://tidbits.com/article/13784 - suggesting Take Control of KM might not be a bestseller. Fair point, but I would still be grateful! :-)
Ian's absolutely right - Keyboard Maestro has long had a Record feature. The problem with it, like all similar features I've tried, is that it can only record what it can see, such as mouse movements and clicks, rather than more abstract actions like menu selections that are less likely to break in future usage.
We'd love to do a book about Keyboard Maestro; the problem is figuring out how to make it worthwhile from a business perspective.