Red: Red is a very nice gem color for a Hunter, with both agility and attack power gems. Bright Scarlet Rubies are an excellent choice for a Beastmastery or Marksman Hunter gearing up for raiding, while Delicate Scarlet Rubies are perfect for Survival Hunters.
Yellow: Yellow gems are excellent place to get to that 8.1% magic percentage on hit rating. Rigid Autumn's Glow should probably be your first Gem priority if you're low on hit rating, but remember to count any talents or raid buffs too. Once you hit that 8.1% threshold, more hit rating is pretty useless and you'll want to switch to other gems. Another option for the yellow spot is critical strike rating. Smooth Autumn's Glow will get you there with a little over 1/3% of crit per gem.
Blue: Blue is a little lackluster for a PvE Hunter. If you're having trouble surviving environmental damage or really need to fill out a requirement, you can pick up a Solid Sky Sapphire here, though. But if you really feel like you have to fill in a blue slot, you're probably better off going for a purple or green gem. The exception here may be Survival Hunters with Hunter vs. Wild, which grants attack power to Hunter and pet based on stamina.
Purple: Purple will mostly be good for filling in a Blue slot with a slightly more useful stat. Balanced Twilight Opal gives attack power and stamina, while Shifting Twilight Opal gives agility and stamina.
Green: Green is another color you can use to fill a stray blue gem slot if you need an item or metagem bonus. Jagged Forest Emerald gives some critical strike rating along with the stamina, while Vivid Forest Emerald can be used to fill in a few last points of hit rating if you need them.
Orange: Orange turns out to be a pretty decent color because it combines both Red and Yellow. Still a lot of the time you'll probably just be better off going for a straight up red and yellow gem. Where Orange really shines is a color is on gem types such as the Pristine Monarch Topaz and the Glinting Monarch Topaz, which can give you the last few points of hit rating you need to reach the cap, then spend the last few points on a stat that'll boost your DPS even higher. The other two gem types that can be of use to a Hunter are Wicked and Deadly, Which combine critical strike rating with attack power and agility respectively, and may be nice if you feel you need to balance out your attack power and critical strike percentage some.
Meta: Relentless Earthseige Diamond will probably be your best bet here. A nice solid 21 agility and increased critical damage will firm up your DPS quite nicely. If there is one downside, it does require a blue gem, which you can hopefully fill with a green or purple gem to take off some of the edge . In a pinch, especially if you don't have a Death Knight with Unholy Aura in your raid, you could also get the Swift Skyflare Diamond for a bit of attack power and more free movement.
Notes on Choosing Gems
While it may be tempting to fill in every gem slot in such a way that you get all the item bonuses, it ends up hurting you if the slot bonus is weak or it requires you to use less optimal gem colors, such as blue. If the slot bonus is a good solid amount of needed hit rating, agility, or attack power, it may be worth it. Otherwise, think twice.
As a rule of thumb, I would suggest gemming for your metagem requirement first, then gemming for the hit cap if you don't have it already, then gemming for AP and agility, then crit rating, then think about whether or not it's worth it to fill in a bonus slot. This is a good time to find some synergy too, though. If you need one blue colored gem to get an item bonus and one blue colored gem to get your metagem bonus, for example, it becomes obvious where to stick that blue gem.
You will also notice that I suggested blue quality gems above. It is true that if you want to save a bit of money, you can go for the equivalent green quality gems, which should all have the same adjective and stat matchups as the gems above. Still, by the time you're ready to hit Naxxramas, you should hopefully have a good amount of gold laid in from questing and dailies. It won't hurt to splurge here.
Now is a pretty cool time to get your gear enchanted, since many enchants had their material component cost lowered in 3.0.8. Of course, there's two tiers of enchants for most enchant types, and the higher tier is still plenty of expensive. Unlike above where I recommend using higher quality gems, here I'd say you can probably get by on going with the second tier of enchants until you're at least in Ulduar gear or until Northrend shards drop in price. Let's take a look at what each slot offers.
Helm: So this one is still ruled by reputation vendor bought enchants. The Arcanum of Torment off the Knights of the Ebon Blade is your PvE DPS choice, and is pretty easy to grind rep for, since there's plenty of Ebon Blade dailies in Icecrown. If you're really desperate for hit, though, you may want to head back to Outland and grab the Arcanum of Ferocity off the Cenarion Expedition. Hit is important enough to take the hit to the other stats, trust me.
Shoulders: You can grab the Greater or Lesser Inscription of the Axe from Exalted or Honred, respectively, with Sons of Hodir. It's another reputation which isn't that much of a pain to grind. It's unlocked by a nice epic quest line, the dailies are mostly varied and fun, and the Relics of Ulduar can be turned in for even fast rep gain since 3.0.8 went live.
Chest: Powerful Stats is nice all around, but expensive. You should probably just go with the much less expensive Super Stats for now.
Bracer: While Greater Stats is a strong possibility, Striking's probably going to be better, or you can splurge and go for Greater Assault, which at least doesn't require any crystals.
Gloves: You have some choices on what to put on your Gloves. If you're missing hit rating, go with Precision. If you're survival, you may want Major Agility. Otherwise, Crusher is the classic AP buff, or if that's too rich for your blood, go for the much cheaper Greater Assault.
Belt: This isn't technically an enchantment, but it bears mentioning anyway. Be sure to grab an Eternal Belt Buckle.
Legs: Icescale Leg Armor now requires a Frozen Orb, but is still a pretty nice buff with plenty of attack power and critical strike rating. Still, if it's too rich for your blood, you may be able to get away with some Nerubian Leg Armor in 10-man Naxxramas.
Boots: You can make up some hit rating on your boots by going for the Icewalker enchant, which is pretty cheap all told. If you have enough hit rating, try Greater Assault or Assault depending on your budget, or perhaps
Superior Agility if you're Survival.
Melee Weapon: For two-handers, you can go for Massacre, or its cheaper cousin, Greater Savagery. Both are nice, straightforward AP enchants.
One handers have a few more choices. There's Superior Potency and its Cousin Greater Potency for the straight up AP enchants, but Survivalists may want to grab Exceptional Agility instead. Finally, there's also Accuracy, which is awesome if you're not hit capped or want to swap out some hit gems, but is also very, very expensive.
Ranged Weapon: If you're a Survivalist or Marksman looking to hit that magic 1.5 weapon speed sweet spot, you might go for the haste rating on a Sun Scope. Otherwise, try the Heartseeker Scope to add some bang to your gun.