The solution I found:
\documentclass{beamer}
\usepackage{beamerthemeshadow}
\setbeamercovered{transparent}
\usepackage{tikz}
\usetikzlibrary{arrows,shapes,backgrounds}
\begin{document}
\tikzstyle{every picture}+=[remember picture]
\tikzstyle{na} = [baseline=-.5ex]
\section{section}
\begin{frame}
\frametitle{frame title}
\begin{columns}
\begin{column}{.4\textwidth}
\begin{block}{block title}<1-5>
\begin{itemize}
\item <1-| alert@2> stone\,\tikz[na] \coordinate (Lstone);
\item <1-| alert@3> more stones\,\tikz[na] \coordinate (Lmorestones);
\item <1-| alert@4> water\,\tikz[na] \coordinate (Lwater);
\end{itemize}
\end{block}
\end{column}
\begin{column}{.6\textwidth}
%\begin{figure}[h]
\begin{tikzpicture}
\node [inner sep=0pt,above right]{
\includegraphics[width=\textwidth]{25}%
};
\path (1.45,1.1) coordinate (stone);
\path (3.45,1.1) coordinate (morestone);
\path (3.5,2.6) coordinate (water);
\end{tikzpicture}
% \end{figure}
\end{column}
\end{columns}
\begin{tikzpicture}[overlay]
\draw<2> [thin, red,opacity=.8, fill=red,fill opacity=0.3](stone) circle (4pt);
\path<2>[->,>=latex', red, shorten >=4pt, opacity=.6] (Lstone) edge [out=0, in=130] (stone);
\draw<3> [thin, red,opacity=.8, fill=red,fill opacity=0.3](morestone) circle (4pt);
\path<3>[->, >=latex', red, shorten >=4pt, opacity=.6] (Lmorestones) edge [out=0, in=150] (morestone);
\draw<4> [thin, red,opacity=.8, fill=red,fill opacity=0.3](water) circle (4pt);
\path<4>[->,>=latex',red, shorten >=4pt, opacity=.6] (Lwater) edge [out=0, in=200] (water);
\end{tikzpicture}
\end{frame}
\end{document}
There are some issues i have to play with, to become more elegant:
Setting nodes in relation to the picture; at the moment I will have to re-coordinate the nodes if I change the picture size.
And I don't like the "shorten solution" for the arrows because i have to change the value manually if I change the diameter of the circle.