Dexterity increases damage done by weapons with a scaling mechanic. A letter denoting a weapons specific scaling properties is noted beneath the weapon's requires dexterity stat. The letters range in order of effectiveness from E, D, C, B, A, and S.
Weapons with an E rating for scaling will receive a poor benefit from investment in dexterity while weapons with an S rating receive the greatest benefit.
As is with every other stat in the game, it also has indirect bonuses such as increasing the player characters flat damage absorption. Notable among these indirect bonuses is a reduction to fall-damage with every level invested into dexterity.