I would expect it to have a preloader

[yairEO]

you can't expect me to put all my large-size images on the page..they should only be loaded if a thumbnail triggered it and then be showed to the user

[vladocar]

CSS3 Fancy Box is just a demo solution and should be used only in some cases. Definitely if you have many large-size images you should use some JavaScript(AJAX) solution.