Photoshop will do it under File|Automate|Web Photo Gallery.
ACDSee (
link) will do it using their Plugins|HTML Album Generator.
I personally use Photoshop to optimize the images (save for web) and then use ACDSee to create the webpage with thumbnails linking to the actual image. It's quite a timesaver and well worth the effort. For a sample, check out
this link to see what ACDSee produces. You have total control over size of thumbnails, link colors, text, etc.