Ahmed Farooq saw my posts about Ligthbox and ThickBox image displaying solutions and send me an email that he develops something similar which is definitely worth mentioning.
iBox weights just 11 kb and supports image displaying and various other types of content, like HTML code. It has got a few useful configuration options that you can embed directly into the links. One big advantage is that the script is self-contained, so it would not conflict with other libraries you might include.
Update (May 2015): Links removed, as they no longer work 🙁