This guide is how I like to build Caitlyn; The Sheriff of Piltover. You will be ending up with all-around qualities;
Lifesteal, crit chance, crit damage, attack speed, and ofcourse attack damage.

This guide isn't to complex, as I don't have that much experience with Caitlyn, but you will find it enough for your first time with Caitlyn.
Please vote, write some comments, points of improvement would be great to. Thank You!

Enjoy.
Kill
Destroy

++++++++++++++++
-Fast push.
-Ult has huge range.
-Your 90 Caliber Net grants mobility and evasion.
-Your traps will give you a big tactical advantage.

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-Squishy like hell.
-May be mana hungry.
-One CC and she's out.

Greater Mark of Desolation
Armor penetration marks are ofcourse typical for every AD-carry to be able to handle tanks.

Greater Seal of Replenishment
I prefer these as mana may become a problem when you want to continue laying down your traps and harass with your Peacemaker.

Greater Glyph of Attack Speed
As I buy two attack speed items, yet some more attack speed will be nice. This way you can last-hit better, so you will farm easier.

Greater Quintessence of Attack Damage
Just for that little more attack damage in early-game, so you can get first blood more easily.

Standard AD masteries: 21-0-9 with increased buff duration and movement speed in utility. You might also want to take 22-0-8 without the increased buff duration and another point in crit chance, depending on your playstyle. If you like to sneak out of lane once in a while to get red buff or maybe even blue, you'll want increased buff duration. If you prefer consisten laning, you'll want to choose for a mastery in your offense tree to deal just a little more damage.

In a standard AD-carry+support lane you will find Exhaust a very tactical choice, because you can shatter the enemy AD/carrys damage output with one click. I always like to take Flash so you can get in range for that last hit and you´ll gain gank survivability.
If you are playing vs. a mage you won´t find Exhaust useful and rather take Ignite or Ghost over it.

This item build is ment especially for a AD-carry support lane, but will do fine to in solomid.

Doran's Blade
Your #1 AD-carry item. It grants you health, lifesteal and attack damage, so you'll be able to sustain in lane much longer. I don't find items like Dagger or Vampiric Scepter alternatives. Feel free to get more blades if early-game isn't going well.

Berserkers Greaves
I doubt this needs a explanation; it gives movement and attack speed so it's pretty much your #1 choice. Though you might want to exchange them for Boots of Swiftness when your build is complete so you can catch up with your team easier and won't we chased down that easily.

Vampiric Scepter
With this item you'll get to a nice 18% lifesteal combined with masteries and your Doran's Blade. With this amount of lifesteal you will have even greater survivability. I don't think
you should start mid-game without a Vampiric Scepter.

Zeal
After the Vampiric Scepter you can choose between attack damage and crit strike/attack speed. I choose for the last because a Zeal will grant you easier minion farming, the crit chance may make you the winner in a 1 vs. 1 fight and the movement speed will grant you more mobility and gank survivability.

B.F. Sword
Your basic attack damage item. From now the 300-crits will be fired off.

Infinity Edge
Now the fun begins. Massive attack damage, more crits and heavier crits. This item is fundamental for your damage output and MUST be bought in any AD-carry build.

Bloodthirster
Now you'll hit even higher and you'll gain some more lifesteal. After your Infinity Edge you can also get a Phantom Dancer. If you think you can farm minions and therefore charge your Bloodthirster you should take it, otherwise you'll want to take a Phantom Dancer.

Phantom Dancer
Nice. 800-Crits, 21% lifesteal and >1.5 attacks/sec. Everyone WILL die. I think this is a obvious choice.

Your end-game.
You pretty much got 4 main item choices to be your last 2 items:

Last Whisper
A must when fighting a lot of tanks or just Rammus.

Bloodthirster
Again a Bloodthirster? So what, it stacks!!! You'll get tremendous crits and lifesteal. Choose this if you don't die often and you're plaing versus squishys.

Banshee's Veil
One of the survivability items. Especially take this if you need the magic resist and if you are being focused in teamfights. The shield passive will stop the first CC so you can keep on shooting. It also makes a good anti-thornmail item.

Thornmail
This is your armor survivability item. Buy it whenever their AD-carry is fed, because it will tear them apart if they don't buy a banshees or something.

Max your Piltover Peacemaker the first. It upgrades nicely, grants AoE damage in teamfights and helpes you push lanes faster. You shouldn't spam it to much, or you will be ways to mana hungry. Only use it once every minion wave and try to hit as many targets as possible. Remember it deals more damage to the first targets!

Max your Yordle Snap Traps the second. It may seem a kind of useless to upgrade, but upgrading your net is even more useless. Your traps themselves are not useless at all, actually. You can use them for gank protection, to 'rule the bushes' to gain space when fighting a melee champion or to stop someone chasing you. In teamfights you want to spam them as no one notices them there.

Max your 90 Caliber Net the last. You should take a point in it at lvl 4 as it grants gank survivability and it works as a distance closer, but it's upgrades are just to useless.
The 90 Caliber Net can be used to slide through thin walls and as a evasion ability.

Ofcourse max Ace in the Hole when possible. Don't forget that enemys WILL catch the bullet for their allies, so try to use it only when the target is alone, or you'll end up wasting your ult on their tank.