I entered in the states with a J1 visa and stayed there for 4 months, well I have lots of doubts:

• I'm not sure what income tax form should I fill.
• where should I declare all my travel expenses such as plane and train tickets, my rent, cost of the program, etc
• If I have a dependant but in my country I´m living here too should I declare this too???
  And I lost my passport there so I had too travel to another state to buy a new one can I declare these expenses??

On J1 visa you are nonresident for two years. You will file 1040NR or 1040NR-EZ with 8843. You can't deduct moving expenses if you stayed in the US for only 4 months.
On the nonresident tax return, you can have itemized deductions including job related expenses.