There are many sites where you can make slideshows for your blog. They all mostly work on the same principles, so I will only deal with a couple of them here. However, it is worth looking around at what is available to get a different look to your slideshows. There are some links at the end of this post.
Slide is probably the most popular site. You will need to register (free) and you are ready to start.
Firstly upload your images - you can upload them from your computer, or from an image hosting site, such as flickr
Make sure you have prepared them ready for the slideshow.
Now decide how you want the photos to transition in your slideshow. There are some nice effects here.
Next you can customise your design with different themes and different skins - try out a few to see what they look like.
Now all you need is the embed code to embed it into your blog using the html widget.
Another nice feature you might want to try is Skinflix. This tool allows you to make a nice looking frame or skin for you Youtube video.
There are many other sites for making slideshows. Try some of these: