I generally use Lightbox2
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Fancybox is a very nice one I recently discovered. It handles youtube videos particularly well.
I like Nick Stakenburg's Lightview, even though it's based on prototype and it requires a lot of frameworks. From my testing, it behaves identical in all the browsers.
I like PrettyPhoto. It's lightweight, easy to use, built on jQuery, can open anything you could need.
ColorBox is pretty good, though I have had a problem with smaller images and/or longer title captions (it does not stretch the bounding box if the text wraps).
The classic one is ThickBox. It is no longer maintained but is great if you want a nice, simple lightbox with no fuss.
I like LyteBox for it's small size. Although I had to modifiy it to support "close on click" feature.
Shadowbox is pretty sweet. Not only it can generate the usual image galeries, it also can generate lightboxed out of videos, flash or even html (good for contextual help).
It also has many ways of handling large images (crop, pan, zoom, etc), and you can close the box with esc.
Standalone, but compatible with jquery.