I really, really like this one and I've tried LOTS of Slideshow modules. It's very configurable and gets Oohs and Ahs from those who see it. In addition to the usual features you expect from a slideshow, this one also allows you to set background image or color (while the slides are loading) and overlay image such as falling snowflakes.
You can set shadowing and captioning...and they work without any tweaking! This is not true of every slideshow extension I have tried. I ran into a minor glitch with IE7 but the fix was soon posted in the forum. A quick and easy fix.