When I added a gallery to a page, I get a grid of thumbnails that are all broken image links. I have gone through the process like 5 times, and it does the same thing every time. You can see what it's doing here:
I deactivated all my other plugins, and I'm using the default 2012 theme. The only things I've changed on the theme is moving the header above the navigation, adding a header image, and created some pages and a menu for main navigation. No other changes have been made, other than adding a gallery.