Every game with critical hits eventually asks you the same question. You have points to spend, you can buy crit chance or crit damage, and the forums will tell you confidently to stack one of them. There is an actual answer, and it does not depend on the game.
The multiplier
Crits average out. If you crit a quarter of the time for double damage, then across many hits three quarters do normal damage and one quarter does double, which averages to 1.25 times your base. In general your damage multiplier is
M = 1 + c × (m − 1)
where c is your crit chance as a fraction and m is your crit multiplier. The term m − 1 is what games usually call crit damage bonus: a multiplier of 2 is a bonus of 100 per cent.
Written that way the answer is almost visible. M is a product of two things you control, and a product with a fixed budget is maximised by balancing the factors, not by maximising one of them. Stacking either stat alone gives you a multiplier of exactly 1, because anything times zero is zero. All crit chance and no crit damage means every hit crits for normal damage, which is no damage gain at all.
The rule
Suppose one point of investment buys you either α of crit chance or β of crit damage bonus. Differentiating M against the allocation gives a clean condition. The optimum is where
crit damage bonus ÷ crit chance = β ÷ α
In words: the ratio between your two stats should match the ratio of what a point buys in each. Most games make a point of crit damage worth about twice a point of crit chance, which gives the familiar rule of aiming for crit damage bonus around double your crit chance. Fifty per cent chance with a hundred per cent bonus, or forty with eighty.
Checking it
Take a hundred points to spend, where a point buys 1 per cent crit chance or 2 per cent crit damage bonus, on a weapon doing 120 damage at 2.5 attacks per second. Put them all through the DPS calculator and the shape is unmistakable.
Fifty points in each gives 50 per cent crit chance at a multiplier of 2, for 450 damage per second. Shift to 30 and 70 and you get 426. Shift the other way to 70 and 30 and you get 426 again, exactly the same. Go to 10 and 90, or 90 and 10, and both collapse to 354.
The curve is symmetric around the balance point, and the penalty for being wrong in either direction is identical. That symmetry is the giveaway that this is a product being optimised rather than a stat being maximised.
The exceptions
Two things break the rule, and both are worth knowing. The first is the cap: crit chance cannot exceed 100 per cent, so once you reach it every further point belongs in crit damage, no exceptions. The second is any effect that triggers on a critical hit rather than scaling with it, such as an on-crit proc or a resource refund. Those pay for chance and ignore damage entirely, and they can move the answer a long way.
Otherwise, balance. The reason the advice to stack one stat persists is that it is usually given by someone who already has a lot of the other one, which makes it correct for them and wrong as a general rule. For the related problem of a stat gain that does nothing at all, see the piece on damage thresholds.