I've taken a look at PSR, which kind of does that, but it's just screen caps, and can only record a certain number. I would rather have a video and and a list of bookmarked frames to jump to in order to review problems that happened.
I found that Camtasia has this feature. In the Camtasia Recorder, you can enable the Effects toolbar, and there's an Add Marker button. When you add the video to the timeline, the markers will appear.