This is not able to be changed through a filter. In WordPress 2.9.2 and lower, the setting can be changed in /wp-admin/options.php. The image_default_link_type field is set to "file" by default. If you set it to "none", then scroll to the bottom and save, it will disable media links.
This option has been removed from options.php in WordPress 3. For versions 3.0 and higher you need to add the following to your theme's functions.php file or write it into a plugin:
Note: Getting rid of the link affects all media. If you upload .zip, .pdf, music or other types of media that you want people to download from your site you will have to manually add links to these. There is currently an open ticket on the trac for this: http://core.trac.wordpress.org/ticket/15924