There is a good plugin called “Slideshow” that works well and even allows you to put a slideshow into widgets. It has shortcodes as well. It provides a button for posts and pages that you can click to insert a slideshow. It also shows up in the Available widgets section of Widgets. To get going, first you must create a slideshow by giving it a name, then select your files. If you want to display a slideshow in your sidebar go to Appearance, Widgets and drag the Slideshow widget into the sidebar area.

What I particularly like is that you can first upload your media files to the media library of WordPress and then select your files from there. Media files need not be stored separately, in a separate folder, as some other plugins do.

It puts a menu item in your Dashboard called Slideshows. It has three submenu items: Slideshows, Add New, General Settings.