Haha, Pete.. You stole my idea for TGP galleries I was using.
Naw.. old idea, but it's actually kinda a tough problem. Well, not so really, until you want to track clicks OUT to sponsors/partners/whatever.
I should give you my old code, you can probably modify it for your needs. Does mostly what you want, but you'd have to tweak it some. I have a new "version" I've been pecking at here and there when I get sick of my other work that won't require cookies or anything, all server-side (but a bit more CPU intensive unfortunately)
So yeah, with a bit of hacking I pretty much have what you want. it's certainly not drop-in and good to go though.
-Phil