Shortcuts improve your efficiency, make you easy working with the pen tablet because you don't have continuously run to click the right tool, zooming, selecting etc.
Particularly, Adobe family software do an extensive use of shortcuts.
There are myriad of commands and they are slightly different whether you use a Mac or a Pc. Obviously the best way to improve their use is USING them as well. By the way is not easy to learn them without practicing because they involve even four buttons combination. You have to be able to move your hands on the keyboard like a pianist.
Although you are able to change the keywords settings from the Preferences menu, I suggest to keep the default ones. In this way you already have the habit with the standard shortcuts even if you change computer, at home, at work or in other place.
Now then a list of useful links where you can download useful cheatsheets for Photoshop, Indesign, Illustrator and QuarkXPress.
Photoshop only from Trevor Morris Photographics
Complete graphic software shortcuts collection for Mac or Pc thanks to Noble Desktop, even QuarkXPress!
Devcheatsheet, a complete repository for many different software cheatsheets with the dedicated pages:
Indesign 
Illustrator Other references:
Sixrevisions.com - Cheat Sheets for Web Designers
Sixrevisions.com - 40 Useful Cheat Sheets for Designers
