Thickbox has always worked well for me.  Its simple, effective and classy.  But recently while coding a new site I had problems trying to get image galleries to function.  Thickbox would work fine until the rel parameter was added, then it would just sit there with the loading gif showing over and over... but no image (similar to what happens if you link to an image that doesn't exist, or you use the wrong path to the main image, etc).