Good questions -- the nightly builds are cutting-edge code, so whatever was done that day gets into a Zenphoto package that night.
To install them, follow exactly the same steps as a normal Zenphoto installation, but download the nightly .zip instead.
It's probably best to use the official release if you're not sure, but if you know of a specific bug you're waiting to get fixed, then I'd download the nightly to see if it's fixed. Nightly builds may be unstable or have bugs as you can guess, but overall they will probably work fairly well.
Up to you! Good luck.