iThemes - Display Buddy - which is really a group of plugins, Slideshow, Video showcase, rotating text and a couple of others. You can set a caption for each individual image in their slideshow so check it out

Cheers
Sue

i've just come across this great easy to set up plugin
superb slideshow gallery | Ultimate Fade-in slideshow | Wordpress plugin | Gopiplus.com wordpress plugin, constant contact, super slidshow, rss, popup, announcement, scroll, message, gallery, slidshow, scrolling, transition gallery, scroller, message

You can create separate galleries either in sidebars or main post section and add captions at the bottom of each image. Has a nice fade effect too which you can change.

At the bottom of the plugin page is a great explanation of how to use the plugin. This is a Comment by Becky.

You could check out

Featured Content Gallery

or

Dynamic Content Gallery

Both work well. FCG does not work with WP3 in multisite mode, DCG does work well..

Hope this is what you are after

Bruce