Emerald: +3 weapons & armor; adds acid or poison damage to weapon
Rogue Stone: +6 stat boosters
Star Sapphire: +4 weapons & armor; +4 stat boosters; adds cold damage
Blue Diamond: +5 weapons & armor; wondrous items
Beljuril: +6/+8 stat boosters
King's Tear: +8 stat boosters
List of locations / merchants with high end Gems for crafting:
Merchant's District in Neverwinter - Pap the crafting Merchant (Blue Diamond and other gems)
Sand's Elemental Merchant. Rumored to have gems, but his inventory didn't have any high end gems for us. Aldanon's mansion. In the room where you encounter Scab, two chests (trapped and locked) behind a stack of crates on the left. Random? Canary diamond and blue diamond Collectors mansion - One chest in the main vault. Random (Blue diamond, Kings Tear and Beljuril possible) Crossroad Keep Escape tunnel - One chest in the storage room with Bombardier beetle. Random Crossroads Keep - 1st battle. One chest just inside the room where you fight the six shadow priests initiates. Random. Rogue stone possible Crossroad Keep in the corridor where you fight the construct before you get to Garius' ritual. Two containers on the side wall. Random. (Blue diamond, Kings Tear and Beljuril possible in each) Third level of Riverguard Keep. One chest in the second to last room on the left as you walk down the corridor to Ghellus. Random (Blue diamond, Kings Tear and Beljuril possible) Gem Mines at the Ruins of Arvahn, two chests on the right side of the complex in the barracks. Random.
Randolph the merchant in Neverwinter's Merchant Quarter. (One each: Blue diamond, King Tear, Beljuril, Rogue stone, Canary Diamond, Jacinth, Ruby, 2 Star Sapphires, Diamond and Emerald) Caerlyan the drow merchant - Rogue stones Under Castle Never - Last chamber. One chest, trapped and locked, to right of the door. Random (Blue diamond, Kings Tear and Beljuril possible) Highcliff at the base of the cliff: One chest Random Tholapsyx's horde: Two chests. Random; (Blue diamond, Kings Tear, Beljuril and Rogue Stone possible) Tholapsyx's horde: Tholapsyx's chest: (One each: Blue diamond, Kings Tear, Beljuril, Star Sapphire and others) Mt Galadrym: one chest in main fire giant camp, one chest each in the SW, NW and NE outposts: Random Fire Giant valley: One chest in the King's treasure horde. Random Black Dragon in Nolaloth's Valley. King Tear The Dwarven blacksmith at the Ironfist Stronghold is rumored to have gems for sale, but his inventory didn't have high end gems for us.
Tip: Usually if you find a chest with a 5000 gp or more, chances are that you just missed a rare gem on the random treasure tables.