How can I show video and images in slideshow with lightbox style?
I achieved this some months ago... you can see an example in here http://www.entretierras.com/en on the left sidebar there is a block (slideshow) called "Our routes in pictures"

What we did:

First of all - New content type:
- Create a new content type. In my case I called it "slideshow sidebar"
- Add image field 
- Add video field (see http://drupal.org/project/video_embed_field)
- The idea is the content can have an image or a video, but not both. (I control this by using Conditional fields module) Optional
- Create some nodes


Create an image style


Second - Create a view:
- Create a view. Block presentation. Showing content fields.
- Install Colorbox and Views slidehow modules. Colorbox is used for opening the slide in a lightbox way. Views slideshow is needed to create the slideshow.
- Add the fields you have created above.
- Apply a filter for the "slideshow banner" content type
- Select the format as slideshow and configure it as your requirements
- On every field (in the view) select the formatting as color box and aply the image styles you have created previously.

Hope this could help.