Based on WP-Cycle with modifications by Chris Grab and includes changes by Toby Brommerich to get the caption to display properly with each image.
The WP-Cycle Plus Captions plugin allows you to upload images from your computer, which will then be used to generate a jQuery Cycle Plugin slideshow.
Each image can be given a URL, the active image will then work just like your basic text link. The slideshow is set to pause when the user hovers over the slideshow images, giving them ample time to click the link.
Now each image can now be assigned a caption. Each caption will display below its parent image as they rotate.