What weapon gem to use

It depends on what you want to do with the weapon/runes.
In all cases +damage will work and stack with everything.
If a weapon already has an elemental enchantment, then it only stacks with the same element gem. This bonus elemental damage will be also added to rune attacks, but only if the run deals physical damage. So a Frost Dash rune will not benefit from any elemental boni, even cold; while Spin rune will.
In general, enemies tend to take more damage from elemental attacks than from physical.

The rest is up to you to decide.