Right click your microphone in this window and select Properties (Ominaisuudet?). In the Advanced tab, uncheck the box that says "Allow applications to take exclusive control of this device" (I won't even try to provide Finnish variants for these).

To record from multiple sources at the same time, such as a game and your microphone, you need to select "Stereo Mix" as your recording device. This is a "what you hear is what you get" mode. As far as I remember, you can't select it directly in Audacity, so you should set it as the default device (via the right click menu in the window linked above). This will technically enable you to make your microphone "louder" in the final mix if you decrease the volume of the game itself in Windows Volume Mixer, then normalize (and/or compress the dynamic range of) the resulting audio.

Fun fact: If I put stereo mix as the default thing in that screen, I cannot speak in skype using my mic. It says that mic is unavailable. It does, however, record my voice with it, but no notable increase in volume...

Buy a new headset.

Would it help?

Doesn't hurt to try.... or at least you could borrow one from a friend/work and see if you can record properly with it. At least that would eliminate guesses of whether the problem lies in your headset, or your hardware.

True, but why is it that when I record my voice using either the default recorder, audacity or playclaw, it stays very quiet? But when I recorded the last gaming session, where we communicated via skype, my voice was considerably louder and clearer. I recorded it with playclaw.

It's also fun to note that playclaw recorded the screen (gameplay) and my speech via skype, but didn't record either the sounds from the game or my friends (well, it did record my friends' voice, but very quiet, almost inaudible).

What the hell is wrong with this whole scenario??

So just to clarify:
You're saying that when you record with Skype running you get only your voice and your friend's voice very quietly, but no game sounds, but when you try to record yourself without Skype, you only get the game sounds?

If this is correct, it sounds like something is messing with your inputs. Skype is probably setting your computer so that your microphone is the default input and then changing it back to your Stereo mix when you close Skype. That would explain everything except why your friend's voice comes at all.

Looking at this screenshot, The microphone is your default device and neither "Mute" or "Speaker Output Mute" are set, correct?
Sorry I have no experience with that particular program, so I have to ask.

I've never encountered a similar scenario before, and all I can say at this point is that I'm out of guesses. It definitely sounds like a problem with the settings - or that you have an evil gremlin living inside your computer that messes with the audio levels by will. Almost as if there's some sort limiter installed, that only allows recordings on a specific volume level through. Why it only happens in regular recording sessions: beats the hell out of me.

Sorry I can't be of more help. Based on what you've told us, I'm just as much puzzled as you are, and I claim to know something about working with audio, though I'm no professional either. Right now, I would double check every, every possible setting everywhere and make sure they are as they should, and if the problem persists, try new drivers for whatever soundcard it was you're using, re-installation of the software you personally used to play with audio levels; the one that's not Microsoft's own volume control, and if the problem is STILL there, install a different audio card and see if you can record with that without problems.

Honestly I can't think of anything else at this point.

OK, I found a manual for a version of that soundcard software.

Try enabling automatic gain control:

I believe it's the button to the right of "0 db" in this screenshot
EDIT:
Apparently you're not alone, KTC, but no solution there either.

Basically, yes. With skype on and using it to speak to my friends, the playclaw recorded my voice, my friends voice (extremely quiet) and no ingame sounds.

With skype off, the playclaw records the ingame sounds okay, and my voice too low.

And nothing is muted.

Have you tried using the front panel jacks?

Have you updated your drivers recently?

A post you might have missed.
This might be a problem with the VIA HD audio drivers itself. I have the M-Audio Revolution 5.1 and it doesn't allow me to record the Stereo Mix at all and, in fact, doesn't even list it, which means I can only record from the mic and line in inputs, but not the gameplay sounds.

I have seen several threads where people complain about VIA HD and Win 7 saying that things worked properly on XP, but not Win 7. Some people said that getting a USB microphone worked.

Not sure what to say.

The auto gain does nothing, as it's already at its max. It only lowered it when I blew into the mic...

The VIA HD audio drivers are from 2009, it seems. I downloaded newer ones from VIA's homepage, we shall see if the computer explodes now.

So I need to get a USB mic?

Well, this might be a solution since it would allow you to bypass the VIA drivers. A different sound card might also fix things.

It still seems strange.

I think we've all slammed against a brick wall with this, but I would wait to get a second or third opinion though unless you feel like rushing out to grab something that may or may not fix your problem. If you're able to borrow one to test, that would probably be best.