I've been needing this too. Nant, who is on the CB team wrote a plugin that does this. It was installed on this site for testing but they took it down. Not sure when it will be available. Maybe with CB stable?
Check this out too. Someone is working on Coppermine. I'm hoping they add it the ability for users to have their own private gallery. I havn't read that thread in a while so I don't know what's going on.