Most of the galleries have been tested by members who are free to post comments and/or provide a link to their example. 

The low cost flash photo gallery by CoffeeCup.com
Features: Easy to use, thumbnails automatically generated, captions on hover.

Javascript photo gallery: Lightbox
Features: Variable size images/thumbnails, captions, multiple slide shows on the same page.  Free Script courtesy Dynamic Drive

Ajax Gallery:Free code and documentation here at Adobe  An example: uses XML file to organize the data. Perhaps the most difficult of these, but also offers more flexibility and control. Great for larger image galleries.

Totally CSS:
CSS Play:  Be sure to check out the ’simple’ and ‘complex’ slideshow examples added Feb and March of 2007