.sticky: styles sticky posts
.gallery-caption: styles caption in the native WordPress Gallery.
If you are coding a theme to WP standards, then it is simply required that you style both sticky posts and gallery captions.
There is some debate over this, but right now, it is at least required that the classes be added to style.css, even if left empty. (The intent is to ensure that the developer has considered applying styles for sticky posts and for gallery captions, even if the design intent of the Theme precludes any particular styling.)
it's weird since ever I've been coding a WordPress theme (2 month now), I've never come across a sticky post or a native WordPress gallery...
Do you use the Theme Unit Test data for your development? If not; you should be.
the only gallery I know is the one when I upload images in the admin panel - is that the one you mean, or is there a different one as well?
No, it is the gallery added inside a Post, via the [gallery] shortcode.