Yes, you can insert a caption but you need to convert quotes and greater and less than symbols into their html entity equivalents.
For example:
<a href="images/image-4.jpg" rel="lightbox" title="<a href="link.html">my link</a>">Image</a>
Open up the productdetails.ascx page located in the \desktopmodules\smith.buynow folder and go to line 172 and you will see the following lightbox code:
<a runat="server" id="myPicURL1" rel="lightbox[myGallery]" visible="false"><img runat="server" id="myPic1" alt="" border="0" src="" visible="false" /></a>
<a runat="server" id="myPicURL2" rel="lightbox[myGallery]" visible="false"><img runat="server" id="myPic2" alt="" border="0" src="" visible="false"/></a>
<a runat="server" id="myPicURL3" rel="lightbox[myGallery]" visible="false"><img runat="server" id="myPic3" alt="" border="0" src="" visible="false"/></a>
<a runat="server" id="myPicURL4" rel="lightbox[myGallery]" visible="false"><img runat="server" id="myPic4" alt="" border="0" src="" visible="false"/></a>
<a runat="server" id="myPicURL5" rel="lightbox[myGallery]" visible="false"><img runat="server" id="myPic5" alt="" border="0" src="" visible="false"/></a>
I took a look at the lightbox website http://www.huddletogether.com/projects/lightbox2/ and didnt see anything about printing. Try leaving them a message on their website and ask them the question about printing.