Weapons also get bonuses based on Stats that increase damage. As you upgrade weapons they have different branches/paths that you can upgrade down. Dexterity is most helpful down the "Sharp" path of weapons. Secondly, most bows damage is also boosted by dexterity, and bows are pretty much the most broken thing in the game.
Dexterity ended up becoming my most important stat, and then I geared all my equipment to getting the best bonus from it.
This site will prove to be quite helpful:
Demon's Souls English Wiki: Demon's Souls for PlayStation 3
THE JACKAL