I am going to start updating this information for 4.0.1 and Cataclysm.

Please visit the Marksmanship Talents Preview to learn more about the marksmanship tree.

Check out this leveling build to become a master marksmanship hunter.

Marksmanship Spec:

Cataclysm 7/31/3: This spec picks up everything you need. It helps boost pet damage and also pet regeneration. It also picks up the ever important One With Nature as well as the haste bonus from Pathing. It grabs Silencing Shot and 1/2 Rapid Killing for any adds that might provide some instant focus.

4.0.1 3/31/2: This spec can go a couple ways. The way it is or 5/31/0. The first spec will be good once you have been able to adapt to using focus. The latter will be beneficial when trying to learn the spec. It will give your pet some extra regen which will keep it's damager higher while you learn.

Aimed Shot
Kill Shot
Chimera Shot, Rapid Fire, Kill Command
Aimed Shot of course as it will most likely be widely used in MM. Kill shot I believe will be the one glyph ever spec has. It allows for 2 instant Kill Shots on a 6 second cooldown. The last one will come down to numbers. With Chimera Shot not dealing instant damage from serpent sting and not being on a strict rotation with Aimed Shot means you don't really need to reduce the cooldown. Reducing the focus cost of Kill Command is good and will might outweigh the haste bonus during Rapid Fire. With heavy focus shots like Aimed and Chimera, Rapid Fire might be a better choice.

Silencing Shot
Trap Launcher
There aren't too many glyphs that benefit MM. Misdirection I believe will be a glyph every spec uses. It allows you to instantly send some of your threat to your pet and immediately after send more towards the tank allowing you to be able to focus on dps rather than threat. You can get a bit of focus from Silencing Shot. Lastly, I picked trap launcher just because nothing else really fit. Less focus to throw out traps might be useful.

Aspect of the Pack
Feign Death
Mend Pet
There isn't much to choose from, these are the exact same in all three specs. The others left don't really provide anything special.

Gemming (4.0.1):
Marksmanship hunters will now gem for agility and haste/crit. There is no more armor penetration all the armor pen gems will turn into crit. 

Delicate Cardinal Ruby
Bright Cardinal Ruby

Rigid King's Amber
Quick King's Amber

Rigid Majestic Zircon

Glinting Dreadstone

Lightning Eye of Zul

Deadly Ametrine
Deft Ametrine

Nightmare Tear

Relentless Earthsiege Diamond

Socket Bonuses:
You should put your prismatic in your best socket bonus blue slot. Socket bonuses should only be activated if they contain a +6 agi or higher or +12 ap or higher bonus. Otherwise all red sockets should be agi, and all yellow sockets should contain deadly ametrine.

Gemming (Cataclysm):

Delicate Inferno Ruby
Delicate Carnelian

Fracture Amberjewel
Quick Amberjewel
Fractured Alicite
Quick Alicite

Rigid Ocean Sapphire
Rigid Zephyrite

Lighning Dream Emerald
Sensei's Dream Emerald
Lightning Jasper
Sensei's Jasper

Adept Ember Topaz
Deft Ember Topaz
Deadly Ember Topaz
Adept Hessonite
Deft Hessonite
Deadly Hessonite

Glinting Demonseye
Glinting Nightstone

Haven't seen any

Chaotic Shadowspirit Diamond

Socket Bonuses:
As of right now there is only one gem socket per piece of gear so you can put your prismatic into your best blue socket (if you have more than one). You can put hit in the other (if needed). Otherwise agi into red, mastery or haste into yellow, or put an orange if you would like.

See Cataclysm Enchants