Like every CMS / e-commerce software there is some plugins / extensions you have to install at the first place.
Every time I start a Magento Site I install the Magento Easy Lightbox Extension.

Nothing much to say. It adds the lightbox function to your product images.
Automatically replace the ugly image resizer for this cool lightbox.

How much is it?
It’s free
Where can I get it?
Get the extension key and install it from the Magento Connect.
http://www.magentocommerce.com/extension/1487/magento-easy-lightbox