The pyxy-gallery script is an open source PHP-based package that uses Ajax/enhanced Javascript to pull off it's interesting preview method. Based around the Prototype and Lightbox libraries, it provides dynamic pagination and image bookmarking. It's also intended to be lighter on the bandwidth for you and your server - not having to pull all of the content across each time, only what it needs.

The package is neatly tied up in a single PHP script, and the installation is a breeze (check out the docs)

For complete information, to download the script, or to check out a sample gallery, head over to their site and get all of the details.