What if I want to override the lightbox theme?
This is done using the standard block override process:
Can I change the way the lightbox effect works?
Sure, override the controller.php file for the block - in that you'll see the code that generates the jQuery call to apply colorbox. Edit that as per the ColorBox usage instructions.
Why is the caption text very plain?
The caption text has not be styled so it doesn't look out of place in an existing theme. To apply a style, edit your theme's stylesheet, adding in rules for .lightboxed-image-caption and .lightboxed-image-caption-content. Note that the lightboxed-image-caption div is automatically set to the width of the thumbnail image.