I second this idea. It is a bit awkward that the images can be identified to the user either though a tooltip, mouseover or caption and hence the user has no idea where the link will take them
I would like to see the photos visible in the Media Library and hence we could set image titles, alts and captions there.
Then in the Wp-Cycle plugin configuration we could just select the images from the media library and add the link.
wp-cycle would then just populate the title and alt attribute from the media library (and it could even show captions too)