In my former Wordpress blog, I used the excellent NextGen plugin to manage images in galleries. When embedded in a post, the gallery is rendered as thumbnails, whose full-size version is shown as an overlay when clicked. I also like to embed inline images so that I can include a caption. Inline images, however, are still directly linked and not shown as an overlay. When viewed, it requires an additional click or two to go back to the post.
To make sure that inline images are opened on the same page, I use the Slimbox plugin. This works well, except that now when gallery thumbnails are clicked, two full-sized versions are shown, one by NextGen’s built-in effect and one by Slimbox.