Hi guys, I've been saving my gold and finally have enough to purchase a decent Calamity, my question is though, am I better off getting one with a socket and put a gem in it for critical hit damage or going for one that is high dexterity?
Various sites/spreadsheets out there ought to let you figure out precisely how much changing X will effect your damage. You should be able to do this at d3up.com I believe, so I'd go there and fiddle with the calculator to get an exact answer on what's best for you specifically (as the answer will generally depend on the rest of your gear, etc, etc).
Off the top of my head though, I'd guess you'll have better returns sticking a high crit dmg gem in your weapon than finding dexterity. As said above though, that will depend on your overall crit chance, overall dexterity, existing crit damage, etc, etc.
Crit is definitely much better than any of the other mods (ok socket too, but that is essentially the same thing), but you will have to pay for it. For the same cost, a weapon with crit or socket will have lower dps than a weapon with +stat or something else, so you'll have to check prices and use a damage calc to find out which will give you the best results overall.