I've never had to do this with jQuery as I either do it manually in JS:
var img = new Image();
img.onLoad = function() {alert("Image has been loaded!");};
img.src = "path/to/img.ext";
Or, if I'm already using jQuery for the project, I'll just use Thickbox. If you look at its source, it has something similar to the above.
To display it, have a pre-defined div in your source file that is initially set to display: none;, then use JS to set its content to the image and change it to be visible. You can see an example of this at pcgalore.com, the rotating quote banner uses it.