I found what I consider to be a better solution than the ones listed above using Lightbox 2 version 2.6. On line 252 lightbox.js (unminified) you will see this line that will add a signature:
this.$lightbox.find('.lb-caption').html(this.album[this.currentImageIndex].title).fadeIn('fast');
After adding a caption, you can register a click event and force the browser to follow any link in the header, adding to the chain like this:
this.$lightbox.find('.lb-caption').html(this.album[this.currentImageIndex].title).fadeIn('fast').find('a').on('click', function() { location.href = $(this).attr('href') });
I initiated a pull request with this change so that you can keep track of the status and any further discussions there.
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