I would say the best gem to use is the large ruby, doing a lot of damage with the others is all good, but it won't help you if you are already dead from explosive spam, or guns if you don't have shields.
I don't really like the sapphire that much, since it basically breaks everything. It may win you the game, but you get nothing to pick up.
Amethysts are nice for the constant low damage and the stunning
Topaz is great for fire immunity and can add some extra damage to your attacks
The usefullness of the emerald varies, but It can save you if you get trapped. And it makes it possible to do some interesting moves. I still wish it would negetate all damage including explosives when in ghost mode, since it doesn't seem to do that