Hello i'm new and not expert.
Is there a way to see the next and the previsious image in a gallery with the keys on the keyboard?
Or see the next image by clicking on the actual image (like facebook)?
Or having a lightbox effect with next and prev?
(I'm using the default theme).

All that is possible but you need to modify your theme for that. Which of course means you need some knowledge about web techniques. If you have that please read thte theming tutorial to first learn how Zenphoto themes work and then you will find furhter info on the functions documentation.