One of our favorite plugin publishers is Pluginbuddy (a division of iThemes) who has created a series of Displaybuddy tools one of which is Rotating Images. Although it is a premium product (you have to pay for it) we often include it with web design/development projects.
Below is a quick video that shows the basics of how to use Rotating Images. To view this in full-screen mode click the TV image in the lower right hand corner of the video player.
After publishing this video a couple readers informed me that I neglected to show how to embed links in the images. Sorry about that. Rather than make a new video thee screen shot below will show you