It really depends on your skills in editing code or what theme you are using. There are some great sliders available for Wordpress and some themes make the placing of areas for those sliders easier than others. If you've got the coding skills you can also choose to insert a slider anywhere you want including a header area.
Lots of the jQuery sliders have Wordpress versions implemented.
Depending on what kind of slideshow effect you are after and what platform you are interested in will limit your choices too. If you are thinking about the iPhone/iPad then you need to decide if it requires any interactivity, or whether there is an HTML5 version (vs flash). Lots to choose from and most of the major ones do a good job of tackling these issues.
A thing I like to do, for all slideshows, is to throw jQuery Cycle into the template. Essentially this allows me to make a slideshow out of practically anything... especially for headers I will often call the content of posts from a specific category into the header, and jQuery Cycle will take care of the rest. So I can make a slideshow that is a mix of various content, say text and images. You can take this further, and e.g. call the newest post of a set of categories, sort of creating a highlight of content.
For images, I will basically:
1. Install NextGEN Gallery
2. Create the picture gallery using the plugin
3. Insert the gallery into an article
4. Call that article into a div
5. Have jQuery Cycle create a slideshow out of the images placed by the plugin into the single article
Sure, more complicated then using a ready slideshow plugin perhaps, but a separate gallery plugin is good in many other ways as well. In addition, the article slideshow method allows for practically endless possibilities. jQuery Cycle also features a whole bunch of effects, which is always nice.