Well, this extension finally did it. I registered just to be able to rate and write a comment. If you liked "Nivo Slider Free", you'll love this one. It's not the "Free" version with a couple new features, it seems like a rewrite with a very easy to use drag and drop interface. There are plenty of arrows and bullets to choose from. The layout options (deactivate any unneeded element, move them anywhere you want) make every slider unique. And that's without editing any CSS file (I've no idea about).
I had a small problem getting my slide centered in a certain module position and I was one of the unlucky ones who had the "white flash between transitions" problem (related to webhost, not the extension). Support/knowledge base helped quickly. Highly recommended!