Well, if you’re looking to go the non-flash approach, which I would recommend, then all you need is a little jQuery slideshow. There’s plenty of variations online, with a variety of options in the way of transitions, navigation, etc. Two that I like and have used are Nivo and Queness Slideshow. There’s also the Cycle plugin that works this way and offers a wide array of options, though the site doesn’t offer a step by step implementation guide.
They’re generally not hard to implement and just looking at the source code of their examples will give you a pretty good idea of how they’re done. Generally a slideshow container DIV wrapped around individual slide divs and they’re targeted by jquery and your chosen plugin to handle the effects. The Niva example and tutorial is probably the most complete of the examples I’ve mentioned here.