It’s surprisingly easy to create an image (or video, flash, etc.) gallery by using an existing free plugin. There are a huge number of copycats but the classic plugin is Lightbox. If you need something different, here’s a matrix where you can compare the size and features of various different gallery plugins.
And as a bonus today, here’s a few tips on how to style links so you aren’t stuck with the boring default blue underlined text. Important to note that “:hover” and other special selectors can be applied to lots of different elements, not just <A> tags but you will need to test browser support.