The first thing that you need to do is decide what type of slideshow you want to do. There are two very different types. The first is a video slideshow, usually distributed on DVD. The second is a computer slideshow playable only on computers. Each has its advantages.
With a DVD based slideshow, you can send them to just about anyone with confidence that they have a DVD player and that your show will work on their player. You can also do very complex pans and zooms. These take a while for a computer to generate, but that is part of the creation process, not the viewing process. The downside with DVD slideshows is that the resolution is low (720x480) and the color isn't the best.
You'll get much better image quality building a slideshow designed to be viewed on a computer. Another strength to this approach is that you can more easily post the slideshow on the Internet and let others download it. The two main problems with this approach are that your slideshow might not work on everyone's computer and you are more limited with what you can do. If you do a pan across a picture, the computer has to do a lot of work while the pan is actually happening. Some computers can't handle that and so the pan doesn't work right.
At the core, the difference is that the DVD slideshows are really video that the computer generates. The computer based slideshows are just pictures along with instructions on how to display them. They an be much smaller because only the pictures and the instructions are stored rather than 30 frames per second of video. They can do less fancy things because the instructions have to be done while the slideshow is playing. With the video slideshow, the hard work is done when the video is created rather than when it is watched.
There isn't a right or wrong choice, they are just different. I suspect that as high definition distribution channels improve, we'll all switch to generated video slideshows, but for now both choices have their strengths and weaknesses.
The market is definitely moving in the direction of video slideshows distributed on DVD. There are a lot of packages that will do this. I think that the best are the video editing packages designed to work with camcorder footage, like Sony Vegas or Adobe Premiere. These have steep learning curves, but they can do a lot more than simple slideshows. If you want something simple, there are still a lot of options like Microsoft's PhotoStory or MemoriesOnTV.
If you want to do a high resolution computer executable slideshow, my favorite package is Pictures2Exe at
www.wnsoft.com. There are many others, but it is the one I'm most familiar and comfortable with. If you look in my sig file, you'll see a slideshow I generated with this program. It took less than an hour to pick the pictures, put them in order, add the music, set the options that I wanted, and build it.