What differences do the density of the zones make to the game? should I have half and half of dense/light or should I just make all my zones have the same density?

It relates to population density. So a low density residential area may give small detached houses whilst a high density residential area may result in high rise apartment blocks. Low density commercial might give you some small shops, high density commercial might give you some large malls or tall office buildings.

I don't know the actual game mechanics behind it but from what I can deduce and guess high density zones produce more pollution and crime for the benefit of housing more people and businesses. Light zones often have higher land values depending on what kind of buildings they get populated with. I guess a nice house with a garden is more attractive than an apartment complex.

I think providing both options is important, especially early on. I start out with mostly light zones in the early 1900's and "modernise" by replacing some with dense zones once there seem to be a demand for it, turning that central area into a real downtown area with multistory buildings.

Dense zoning gives you bigger buildings, while light zoning restricts the area to smaller structures. This primarily impacts population, crime, pollution, and tax revenue. As to which is better or what proportions to go for, it entirely depends on what kind of city you intend to build. It's entirely possible to go 100% light or 100% dense.

I personally like starting out with a dense city core, since this gives a more robust tax base.