Is there a way to change the link in the categories to skip the thumbnails and go directly to the associated slide show? Or embed the slideshow above the thumbnails on the page?

What do you mean with [i]categories[/i]?
What theme do you use?
Do you have a website we can see?

hi
maybe, 464media asks for something like that : http://www.vincentbourganel.fr/page/gallery
(see random picture strip : thumbnails open a slideshow rather go to relevant picture page)

@464media: You can do almost anything on a theme but you will have to modify it. You can use the printSlideShow function from both slideshow to show a slider of an album anywhere (you cannot do this with the standard slideshow functionality).
http://www.zenphoto.org/documentation/plugins/media/_zp-extensions---slideshow.php.html#functionprintSlideShow

Just place that on the theme's album.php (it is recommended to read the theming tutorial first).

If you still want to keep the ability to link to an individual image it gets a bit more complicated.