How can I initialize a record declared as a local variable?

You can use either one of following constructs (where Foo is a record).

FillChar(Foo, SizeOf(Foo), 0); 

ZeroMemory(@Foo, SizeOf(Foo));

From a post from Allen Bauer

While looking at the most common uses for FillChar in order to determine whether most folks use FillChar to actually fill memory with character data or just use it to initialize memory with some given byte value, we found that it was the latter case that dominated its use rather than the former. With that we decided to keep FillChar byte-centric.

Since Delphi 2007, you can use the Default() intrinsic function:

var
  LRecord: TMyRecord;
begin
  LRecord := Default(TMyRecord);
  ...

Note, that you should use Finalize before FillChar or ZeroMemory in some cases.

well, you may apply a simple legal trick

unit unit1;

interface

type
  PMyRecord = ^TMyRecord;
  TMyRecord = record
    Value: Integer;
    function Self: PMyRecord;
  end;

implementation

function TMyRecord.Self: PMyRecord;
begin
  Result := @Self;
end;

procedure Test(AValue: Integer);
const MyRecord: TMyRecord = (Value: 0);
begin
  MyRecord.Self.Value := AValue;
end;