if I want to run some Bash-script, how do I do that?

I'm not sure I this is what your asking for, but:
give the script executable permissions:
$chmod +x scriptname
And then run it from a terminal with:
$./scriptname

Make sure you place it in /home/user/ and not /home/user/MyDocs; as MyDocs is on a FAT partition, you won't be able to set the Linux execute permission.

I find that "less" doesnt exist, and no "man" pages:
As Zas said:
#apt-get install less
For man pages, see the post above

And I can only open one virtual terminal.
CTRL+SHIFT+x will open a new terminal, also clicking on the title bar, in xterm, and selecting new will also.

Found some programs that didnt work..ejpi
Sorry, can't help.
Have you tried running it from a terminal to see if there is any output?

I tested that "Debian chroot" package, there was "less"... some virtual engine on top? .. slow.

With debian chroot, your not accessing your own filesystem per se, but you are making changes to the image file that you downloaded.
It is pretty much a full-blown debian OS on your phone, so it will have most of the utilities/programs that you normally associate with linux, whereas the phone does not.