Here's everything I think is true about critical hits, assembled from bits and pieces. I wasn't sure whether to put this in General Discussion (since there are a couple open questions), Strategies, or Ideas (because I think it might be helpful to have this information in one place in the game manual; right now it is scattered throughout the manual and a close reading of the context help for Criticals and Critical Immunity).
Critical hits cause instant core and part destruction on robots which are not immune, and an automatic additional 20% damage against armor parts. (Does this include part-category-specific Shielding items? Is that 20% of armor integrity or just +20% of the shot's damage?) Cogmind is less susceptible, suffering instant part destruction only if a part is below 33% part integrity and presumably not suffering instant core destruction at all.
Robots which are immune to instant core and part destruction still suffer the additional 20% damage to armor.
EM critical hits maximize the corruption induced by the shot, meaning they automatically do 150% of damage worth of corruption against robots other than Cogmind, though only 5-20% of damage to Cogmind. (Does this also apply to robots which are immune to instant core and part destruction, like the armor effect?)
Core Analyzers duplicate the critical effect to the core when they take effect, per Kyzrati. This means the affected robot will be destroyed when a Core Analyzer takes effect and the destroyed robot definitely won't drop the part that was destroyed by the crit, if I understand correctly.
Critical hits do not cause damage overflow.
Critical hits do not affect machinery, walls or doors in any special way (though they used to).