By the GURPS rules-as-written (often abbreviated RAW) the chance of criticals does not increase for effective skill greater than 16.
For melee attacks, this generally makes it more effective to use high skill in a Deceptive Attack (Basic Set, p359-370) to reduce the chance of the opponent defending. The inability for the opponent to defend is the primary benefit of a critical hit. Reducing their chance to defend tends to be more valuable than increasing the odds of a critical, because of the way the bell curve of GURPS' 3d6 mechanic works.
For ranged attacks, the primary benefit of very high skill is reducing range penalties and thus being able to hit at longer range. You can also use Prediction Shot (Gun-Fu, p11) to do a ranged Deceptive Attack, but it's kind of cinematic and usually not very useful.
However, for non-combat skills, people sometimes want improved criticals and there are various house-rules, though none widely adopted.
I recently happened on a progression that's easy to remember and demanding enough not to be unbalanced:
- 6 is a critical at skill 16, by RAW.
- 7 is a critical at skill 27, by this house-rule
- 8 is a critical at skill 38, ditto.
- 9 is a critical at skill 49, likewise.
That seemed far enough: it's costing about 44 character points for each critical upgrade, and the highest skill I've imagined for anyone in my semi-epic Infinite Worlds + Cabal campaign is 40.
I find this easier to remember than +5 skill levels for each step of improvement because you're moving into a new decade range for each improvement. It's also expensive enough that most people won't bother.