You can fade a background image using CSS3 transitions. I have accounted for non-CSS3 browsers in jQuery implementations using more complex strategies, but for most applications this CSS3 strategy will do just fine. It will offer a nice fade on compatible browsers and just a plain transition on others.
Set up jQuery to change the background image, but apply the transition style using the below CSS. Anytime the background changes, it will transition according to the CSS3 style.
#header
{
background: url('images/header_slides/slide_1.jpg') no-repeat;
transition: background 0.5s linear;
-moz-transition: background 0.5s linear; /* Firefox 4 */
-webkit-transition: background 0.5s linear; /* Safari and Chrome */
-o-transition: background 0.5s linear; /* Opera */
}