That's an interesting question. It's phenomenal the number of things people want to do on WP. And sadly, most of them will take quite a bit of work and experience if not in the stock WP pattern.
One idea is through extensive template and styling work on, say, the main template - but that's fairly big deal unless you're fluent. You would end up with a fancy summary of Posts, and each would link to a full post on your site.
Another idea - say you had a slideshow plugin. If it makes an auto thumbnail of your pic, takes a caption, and allows you to make the photo link to something external, that could do it. That's pretty much what NOTCOT is doing. Your slideshow becomes a fancy list of links.
I don't use the fancy pic galleries, though, so you'd probably have to try a few and see if they offer those features. The thing I don't like about my idea is that it's not very automated; my first answer is moreso.
Good luck, D