Lightbox, and the newer Lightbox 2, is a JavaScript application used to display large images using modal dialogs. The script has gained widespread popularity due to its simple yet elegant style and easy implementation. Lightbox uses the Prototype Javascript Framework and script.aculo.us for its animations and positioning. (From wikipedia: http://en.wikipedia.org/wiki/Lightbox_(JavaScript))

ThickBox is a webpage UI dialog widget written in JavaScript on top of the jQuery library. Its function is to show a single image, multiple images, inline content, iframed content, or content served through AJAX in a hybrid modal.(from: http://jquery.com/demo/thickbox/)

LightBox:

http://www.lokeshdhakar.com/projects/lightbox2/
Develpoer blog: Lokesh - Huddletogether.com

ThickBox:

http://jquery.com/demo/thickbox/
Developer blog: Cody Lindley - http://codylindley.com/Javascript/257/thickbox-one-box-to-rule-them-all