Caitlyn is your basic ranged dps, but better in every way.

She has the attack anamation speed of Leblanc with phys damage which makes last hitting extremely easy after a little practice.
She has a Tristana-like attack range which makes it easy to harass or get cs without being harassed.

She has a stun/ward, albeit takes practice landing it in the heat of battle.

She has a great get away/chase, which is not as hard to use as one would think.

And best of all she has two Phys Damage Spells on top of a decent damage passive.

Caitlyn has very versatile spells that allow you to be dangerously creative.
Remember: Piltover may not be your ult, but it's your number one weapon most of the game.

Caitlyn is great in any lane. I would not, however, recommend going solo top if they have a jungle or lane champ that can turret dive well. Yes you can pop a trap and they'll take a couple turret hits but an udyr or malphite won't care as they eat you up after about level 8.

She's a great mid who can play against the best but I find she's better in bottom lane. I haven't had too much trouble with any one champion mid. I see Sivir or Katarina as viable threats (as they are to most), but otherwise Vlad, Anivia, Annie, Pantheon, Miss Fortune, etc. pose no real threat that early boots can't solve.

Caitlyn is a great duo laner paired with anyone. Place two traps to cut zone them and stand in the bush last hitting minions if you're an aggressive player. If you're facing a lane with good cc play by your turret pop a trap in the edge of your bush so they can't zone you and keep your trap up for tower dives.

- Zerker Greaves: I favor these over boots of swiftness or mobility because Caitlyn can stand and fight against most champions with this build.

- Last Whisper: The new last Whisperer is great for Caitlyn, giving good early game damage and armor pen for her Piltover. You should usually have farmed for zerker greaves and a long sword before your first time back to base.

- Blood thirster: Starting with Vampiric Scepter this allows you to stay in your stay out from base for long periods of time, this is what gets you ahead before late game. I usually keep myself up on cs on the level of Mordekaiser and ahead of Morgana's and Anivia's.

- Black Cleaver or Banshee's Vail: You decide, honestly just ask yourself what you need more. If you're fed and farmed, black cleaver usually helps more. If you're even with or behind the opposing gankers/mages get bvail.

- Lastly, finish a second Blood Thirster just for kicks.

Why no infinity edge/phantom dancers?
I don't build Caitlyn as a crit dps (even though crit does wonders late game) because her Piltover Peacemaker and Ace in the Hole stack so well with phys damage but don't apply on hit affects. Crit is good for auto attacking, but Caitlyn is great because she isn't limited to physical damage by auto attack.

*Flash*: I use the flash summoner skill because I play a very aggressive Caitlyn. Flash allows me to overextend (to an extent) without needing wards constantly. You may find cleanse, exhaust, or clairvoyance more useful for your play style.

For example, in mid I'm often pressing my opponent against their tower and popping traps down around their tower leaving no where safe and essentially crushing their cs. The need for flash comes when the man-bear-turtle-phoenix or other such jungles come hurtling behind you to cut you off from your tower. With a couple quick steps and a 90-Caliber net, pushing you towards your tower, flash should put you safely on your tower side of the gank and able to jog back behind your tower. Unless they have suppression or a ranged stun that you fail to dodge, it works wonders.