How to activate or install the Gallery Widget?

I would like to activate the Gallery Widget which is presented here. It seems that it's part of the general Wordpress distribution but the widget is not listed under Appearance → Widgets. BTW, I don't see most of the widget present here.

So, is there a way of installing that widget? Is it a plugin I need to install? Or is the selection of available widget dependent on the Theme?

BTW, I'm using Wordpress 4.1.1.