BUT, there are some general rules to follow (after you get used to them, you can figure out exactly when and where to break them).
Try to keep your shows to 10 minutes, give or take a few. That's because the typical attention span for these shows starts to wander after that.
Captions: use sparingly. Most shows don't need them. Use them (typically) for your intro's and outros as appropriate and for announcing that you're about to enter a new section.
Effects. Use sparingly. Typically you'll want to use only a few. If you have too many, the viewer is going to be concentrating on what effect is coming next and may miss what you really want them to see. The can be a good way to reset the attention span to keep the interest up ... but, you don't want to rely on them as your main vehicle for transitioning between slides. To much of a good thing is not good.
Keep a theme for each section of your show . . . try not to change it unless there's a compelling reason. You don't want to fatigue your viewers any quicker than you have to. Keep the contrast from being to extreme. An all black background for every slide from start to finish is going to make the eyes tired sooner than if you had a less drastic background difference (color coordinate if you can). The same goes for an all white background.
Change themes between sections if you need to.
Make your show tempo match that of the music. A fast paced tempo of slide/image changes with a slow paced tempo tune is NOT going to go over well. Also, time your show's images to the beat (on or off of it) in the tune. A show that has images that seem to have no correlation to the music gets old pretty darned quick. Anyone can attach music to a show and call it a slideshow ... but the viewers are going to struggle to get though it and they'll NEVER want to see it again (if they make it all the way to the end...).
Those are some top level, off the cuff suggestions. You can download more complete information on the page located in the link below. Look for the SLIDESHOW TIPS links on the following page (lower right):http://fenimorephotovideos.com/links.html