I would like to know if it's possible to create a gallery like that one using WordPress: http://jfdelsalle.com/naaman.swf
Is there any plugin close to that?
Of course it's possible. Galleria is a jQuery plugin that is similar, but better (fancy slide transition effects and more).
You could include it yourself (see their documentation) or if you prefer WordPress plugins look at Photo Gallery which seems like it's based on galleria (haven't tried it).
Another really popular gallery plugin is the NEXTGen Gallery. I'm not sure if it supports the slideshow functionality seen in your link out of the box, though. I guess some coding is required for that.