I keep searching for a Light box plug in for Zen Photo. Is there one? Or Some Fancy image transitions?

Zenphoto has the colorbox_js and slideshow2 plugins.
You can of course implement any "Lightbox" you want but that will require some theming.
http://www.zenphoto.org/news/theming-tutorial

Slideshow2 is not a "lightbox" plugin though. Generally most plugins need to be added manually to the theme used. They generally don't auto attach because themes are quite flexible.