We establish the formulas of the left‐ and right‐hand Gâteaux derivatives in the Lorentz spaces Γp,w = {f: ∫0α (f **)p w < ∞}, where 1 ≤ p < ∞, w is a nonnegative locally integrable weight function and f ** is a maximal function of the decreasing rearrangement f * of a measurable function f on (0, α), 0 < α ≤ ∞. We also find a general form of any supporting functional for each function from Γp,w , and the necessary and sufficient conditions for which a spherical element of Γp,w is a smooth point of the unit ball in Γp,w . We show that strict convexity of the Lorentz spaces Γp,w is equivalent to 1 < p < ∞ and to the condition ∫0∞ w = ∞. Finally we apply the obtained characterizations to studies the best approximation elements for each function f ∈ Γp,w from any convex set K ⊂ Γp,w (© 2009 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)