For many, many recent discussions of video and audio recording, please just do a "search" on video for the last 90 days.
Regarding legality: there is a detailed discussion of this in one of the topics at the top of the topics list in the New Mystery Shoppers area of the forums.
Short answer: it is legal when the client has followed the laws of the particular state in 14 states, and legal in all cases in the other 36 states and DC. Some training in using the video recorder is needed and should be supplied by the MSC.
Based in MD, near DC
Shopping from the Carolinas to New York
Have video cam; will travel
Poor customer service? Don't get mad; get video.