I have created a patch which adds an optional parameter |link= to the <gallery> tag.
Here are a couple of examples.
File:20120106_001.jpg|my caption|alt=my alt text|link=http://bugzilla.wikimedia.org
this would cause the link on the thumbnails rendered by the gallery tag to link to a custom page/url instead of the actual media/image.
The patch is fairly small, only touches two files. I would personally have commited these files to trunk, however i don't have core commit access, and i figured submitting it as a patch would carry less overhead.