Not Updated For Current Season
Caitlyn is a very fun hero to play, but there is a certain amount of finesse in using her. I slightly modified the Champion Spotlight build and found that it works well for me. As with anything, test it out and make whatever changes you feel comfortable with.
With this build you will be able to play her as an excellent harasser. She excels fighting from the brush (allows her passive to work more often) and therefore I play her top or bottom lane.
She can't jungle for ****. Seriously, don't even try.
I have been using Heal and Ghost. Not much to say about this one, I find having the extra chance to keep yourself and your teammates alive with Heal is wonderful. Ghost helps to chase or GTFO as needed.
Teleport instead of Heal can be a good alternative, I find Flash not as useful since you already have the 90 caliber net skill.
For the Masteries, I decided on 8/1/21 I focus on cooldown reductions and critical chance with offensive. I grab the enhanced Heal from the defensive tree. I finish with Utility, specifically I like improved Ghost, increased mana, cooldown reductions, experience and movement speed.
Focus on Armor Penetration Marks and Quintessences, and Mana Regeneration Seals and Glyphs. I find using 3 flat regen and 6 by level regen works well for me. It's not completely useless early game and still works well late game.
Piltover Peacemaker is the go to damage dealing skill for Caitlyn. I take this first, and after having 1 rank in the others, max it out as quick as possible. You don't need to see your target so it can be good in ferretting people out of bushes or last hitting enemies who flee through brush.
I leave only 1 rank in 90 caliber net until there is no option left to increase it. This skill can be used to make a quick escape while slowing down your opponent, or alternatively, you can chase (not that well) by firing it behind you. It also will vault small walls in the same way that Tryndamere can.
The Yordle Trap is extremely useful in herding your opponents. The trap is visible, unlike Teemo's Mushrooms; and you can only have 2 on the map at once, placing a 3rd destroys the oldest one. You can not teleport to these and they provide no map awareness. However should an opponent spring the trap, you will be able to see them for a few seconds, even if they try to stealth. It will ONLY activate against an enemy champion. You can not use this to farm minions or to get jungle buffs. The Mob's will laugh at you if you try it.
The Ultimate 'Ace in the Hole' has very good range. Exteremly good range. Once you begin channeling, even should your target leave the range of the ability, it will still fire on them. The only way it misses is if an allied champion jumps in the way or if they 'port out in the nick of time. Best used against squishy targets. They don't like it much.
I start with the Meki Pendant and build to the Tear of the Goddess ASAP. Later on, I may or may not upgrade to Manamune for the extra damage, depends on how long the game goes for.
2nd item is the boots. The new Ionian boots are pretty great. (no icon available for me to add into the build yet) Cooldown reduction means more Ults. A good second choice are the Berzerker's Greaves for increase Attack Speed.
Vampiric Scepter into Bloodthirster is Next. Building up a nice stack of extra lifesteal and damage is very helpful. Her abilities scale with attack damage, so Sword of the Occult is a good option if you are doing well, or have a great laning partner. I prefer the Bloodthirster however.
Infinity Edge is the next item that I go for, and the reasoning is the same. Stack attack damage, and increase your critical damage. Her passive deals double damage on every 8th shot (shots from brush count as 2) and this stacks with the increased crit from Infinity Edge.
After Infinity Edge it's a toss up. If your opponents are running heavy AP, grab a Banshee's Veil, otherwise I like taking the Phantom Dancer for attack speed, crit chance, and move speed.
I threw a Nashor's Tooth at the end for the cooldown reduction and attack speed. To be honest, I haven't been in a game that lasted long enough for me to get it yet. Another Bloodthirster makes a tasty good alternative.