All you need to do is:
1. Copy app/design/frontend/base/default/template/catalog/product/view/media.phtml file to your theme
2. Find the loop which iterates Image Gallery thumbnails
<?php foreach ($this->getGalleryImages() as $_image): ?>
<li>
<a href="#" onclick="popWin('<?php echo $this->getGalleryUrl($_image) ?>', 'gallery', 'width=300,height=300,left=0,top=0,location=no,status=yes,scrollbars=yes,resizable=yes'); return false;" title="<?php echo $this->htmlEscape($_image->getLabel()) ?>"><img src="<?php echo $this->helper('catalog/image')->init($this->getProduct(), 'thumbnail', $_image->getFile())->resize(56); ?>" width="56" height="56" alt="<?php echo $this->htmlEscape($_image->getLabel()) ?>" /></a>
</li>
<?php endforeach; ?>
3. Paste this code somethere in <li> tag (depends on your theme)
<?php echo $this->htmlEscape($_image->getLabel()) ?>
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