Perhaps I'm doing something wrong, but I have FancyBox installed and it works perfectly for displaying single images and even displaying images in galleries that I've created in posts. The problem I am finding is that when I create a Gallery in a post, and you click on one of the images in the gallery, the arrows do not show up to go from one gallery image to another. "Show the navigation arrows" is checked on the settings page.
Does anyone have any ideas? Here is one of my posts with a gallery at the bottom: http://www.undestined.com/fully-loaded-test-ride