The HH and thrallmar vendors' gems blow, what you should do is make your way to shattrath, and see if anybody has one of those obnoxious "!gem" mods. Basically they have an ad that tells you to "/t !gem <flag>" where <flag> is replaced by any of a number of modifiers, including gem color or stats that you intend to improve. After looking at a bunch of these, you should have a decent compilation of possible gem cuts for various stats.
Vendor cut gems are 2g each without any rep discount, and the last set of gems I bought were 3/4 of a stack of blood garnets for 1.3g each. These are decent when cut, and are meant to be placeholders until I manage to scrape together a ton of living rubies, and the endgame epics I intend to sink them into.
Basically, there are stones, and there are cuts. Each stone can have different cuts applied to it, and these cuts are what gives the stone it's stats.
Blood Garnet
Flame Spessarite
Golden Draenite
Deep Peridot
Azure Moonstone
Shadow Draenite
Look up each of these gems here at alla, you should find all the various cuts that can be applied to them. The same cuts can be applied to rare gems to produce higher levels of the same stat(s). Socket bonuses on an item are active when you fill the sockets with gems of the appropriate color. Note that this means that you can fill sockets with gems of the wrong color, if you so choose. I'd recommend considering improving stats that are more important to you rather than take the color guides on the item itself to provide a useless socket bonus. If the socket bonus is something you would use, consider putting a multi-color gem in to slightly increase a stat you want, and activate the bonus at the same time. If a socket will give me +4 spell damage if I use a yellow gem, I would rather use a Potent Flame Spessarite than a Runed Blood garnet (a red gem with the stat I like), to give me +8 spell damage (including socket bonus) and +3 spell crit rating, than just +7 spell damage.