It came with Photoshop 10 Express, Autocad SketchBook Express and Corel Painter Sketch Pad. They all seem like great tools for creating/modifying art and photos. Is there a better application for drawing using the Wacom Intuos4 for the purpose of teaching, like they do at Khan Academy?
Despite what the article implies, he most likely used a Bamboo or similar tablet for all of the videos.
But I would still recommend using something that is more like a slideshow/presentation format. Sketchbook would work well since: