What you appear to referring to is Chromakeying, sometimes referred to as "pulling a key". What you do is you film yourself against a blue or green background and then create a video with two layers, your game video being the background and the blue screen video in the foreground. Then you use your editors keying tools to remove the blue or green from the foreground video, therefore effectively leaving just you superimposed on the video behind.
It sounds straight forward but it is imperative that the blue or green screen is lit softly and evenly, there are no shadows from the subject falling on to the screen behind and even then you will need to play around in the editing suite quite a bit.
There is another way but this is a long and tedious way of doing it. In your video editing pacakge export the video of you as targa frames and then use photoshop and load each one, select yourself using the lasso tool, invert the selection and export as transparent image. Then import each frame (pic) back into your editing suite. When you consider that 2 seconds of PAL video is 50 frames, and 60 if NTSC, you can see what a long job it would be. But hey, that's what makes it fun
Adding yourself to pre-existing video 
Linear Mode
