The most common I use is a cable from the headphone jack to the mic jack. May require some Y cable and volume control but it works everytime.
You can also check out the discussions on Audacity forums which I won't duplicate here.
I have a Compaq Presario CQ61 and ever since I bought it three years ago I've been unable to record system audio on it. I took it in and was told that the sound card didn't support system audio recording. Is this true? Every computer I've had in the past has been able to without any problem whatsoever.