Gamma-ray bursts (GRBs) are an enigmatic phenomenon whose physics and origins are still to be fully understood. Furthermore, thanks to their exceptional brightness they can be used as a tool to retrieve information on the high redshift universe. In my thesis work, I explore some of the research areas that can be investigated using GRBs. Using the REM observations of GRB060418 and GRB060607, the initial Lorentz factor of the GRB explosion could be measured. The value found for both bursts and the inferred radius at which the forward shock with the external medium took place is in agreement with theoretical predictions. The analysis of the X-ray to-optical spectral energy distribution of 22 GRBs shows that synchrotron emission works well for most afterglows as a simple spectral model, on the other hand the dynamical model of the expansion is difficult to reconcile with the observations. A low dust-to-gas ratio is confirmed. The X-ray radiation during X-ray flares and the initial steep light curve decay phases, is not (or not only) due to the afterglow emission.