By default, linking to an image or video in Wordpress takes you away from your blog and displays the file directly. RokBox Gallery is a MooTools/JavaScript based plugin that allows you to display content in a very professional and user-friendly manner.
Download RokBox Gallery Plugin
To use the RokBox plugin, you simply need to add two attributes to a link:
title="Title :: Subtitle"
rel="rokbox[750 300]"
A whole link would look something like this:
<a href="www.linktoanimage.com" title="Title :: Subtitle" rel="rokbox[750 300]">Link Text</a>