<p>Change Data Capture is a new feature in SQL Server 2008.  From MSDN:</p>

<blockquote>
  <p>Change data capture provides
  historical change information for a
  user table by capturing both the fact
  that DML changes were made and the
  actual data that was changed. Changes
  are captured by using an asynchronous
  process that reads the transaction log
  and has a low impact on the system</p>
</blockquote>

<p>This is highly sweet - no more adding CreatedDate and LastModifiedBy columns manually.</p>

<p>Does Oracle have anything like this?</p>

I believe Oracle has provided auditing features since 8i, however the tables used to capture the data are rather complex and there is a significant performance impact when this is turned on.
In Oracle 8i you could only enable this for an entire database and not a table at a time, however 9i introduced Fine Grained Auditing which provides far more flexibility. This has been expanded upon in 10/11g.
For more information see
http://www.oracle.com/technology/deploy/security/database-security/fine-grained-auditing/index.html
.
Also in 11g Oracle introduced the Audit Vault, which provides secure storage for audit information, even DBA's cannot change this data (according to Oracle's documentation, I haven't used this feature yet). More info can be found at
http://www.oracle.com/technology/deploy/security/database-security/fine-grained-auditing/index.html
.