They are both technically correct; however, the "serial comma" used in the second example is even better.
I went to the zoo and saw lions, zebras, and kangaroos.
By using a comma after "zebras" and before "and" in the list, you help clarify that you're talking about two separate things. You didn't see zebras and kangaroos together, you saw zebras and then you saw kangaroos.
Also it's important to use the comma before and in a series/list especially if the phrases in the list are lengthy.
I went to the zoo and saw lions eating in their den and some bathing in the sun, zebras running in a herd, and kangaroos teaching their babies how to jump.