With Smooth gallery you can add links in caption and description box.
It can work in two modes :
1. Simple slideshow - like http://wpcincopaplugin.ronica.net/examples/smooth-gallery
2. Rotating news tray - like http://wpcincopaplugin.ronica.net/examples/smooth-gallery-sitemap
The trick to do that is to add the url in the Set Caption and Description page. Add "[...]/?p=34" (without the quote sign) after the text of the caption. for example if the caption is New Year is Now, and the post id is 34 then the caption text should look like this "New Year is now [...]/?p=34".
If you don't know the id of each post this will work too "New Year is now [...]/2009/4/2/New Year is now"
Linking to an outside site like this "New Year is now [...]http://www.google.com"