Hi my name is Asger, and im from Denmark, Caitlyn is my main, so i'll be making my first guide on mobafire about her.

Greater mark of desolation are nice for many physical damage dealers like caitlyn, Miss Fortune and so on...
Greater seal of alacrity helps triggering your passive headshot more often.
Greater glyph of Warding makes you a little less squishy, because you'll be focused in teamfights, trust me!
Greater quintessence of strength is just nice for Caitlyn.

For masteries i like to go for 21-0-9, picking up the armP Damage and crit dmg in offence tree, and increased EXP and buff duration in utility.

Doran's blade is good for alot of DPS carries early game, survivability, dmg and LifeSteal.
Berserker Greaves helps you trigger your passive more often, and also gives you move speed.
BloodThirster, can give you the second most AD in the game ( Maxed Sword of the Occult can give you 115), and also adds 15%-25% lifesteal.
Infinity Edge, with item you're OP, combined with a crit in Headshot, this can deal TONS OF DAMAGE!
Black Cleaver, i normally get this if the enemy is having high armor, like rammus, malphite and so on. otherwise i go for the Phantom Dancers first, and then i pick up a second bloodthirster as my last item.
Phantom Dancer are amazing, they help you trigger your passive alot more often, and also gives you 30% crit chance, and 15% move speed.

I take a point in Q whenever i can, it is amazing for harrasing your lane opponet, and can also be used to farm creeps with. i max this one first.
I grab my Yordle Snap Trap at lvl 2,8,10,12 and 13. it roots the enemy damages and reveals them, if they step on it, so try to use your Q when the enemy triggered your Trap on them.
90 Caliber Net is not the best spell for caitlyn, the knockback from the net can be used to hop over walls, and escape ganks, but doesn't make that much damage, so dont use it as an attack, that is will lead to less mana.
Ace in the hole, is Caitlyns ultimate, Large range and deals tond of damage, however the enemy can block it by standing in front if their teammate, so dont use it in too large battels, as it easily will be blocked.

The reason i choose Exhaust, is beacuse it allows me to chase better, and also escape ganks, if i have no mana, or my net is on CD.
Flash is a little like your E, it can jump over walls, used to get in range of your ulti, and also to excape.

Pros:
Great damage
her Q can be used to farm and harass
can jump over walls with her net, and also escape ganks with it.
can root the enemy.
amazing damage from ultimate.

Cons:
Squishy as hell
her ulti can be blocked
costs alot mana early game