Since some enemies in the game are immune to certain types of damage, I thought I'd do all sorts of damage. I already have a character wielding a greataxe (slashing) and two characters using bows (piercing) but I don't have someone for the bludgeon damage.
Before I level up though, I'd like to know what bludgeon weapon type it is best to specialize in: hammers, maces, flails or quarterstaffs.

Any thoughts?

I went for maces since there are so many in the game, and Flaming Star +1 which is perhaps the most useful blunt weapon in the game (I was still using it at Severed Hand!) uses the mace proficiency. My choices would be mace, hammer and flails, in that order.

Thanks for your reply!

I had another question:
What excactly does it mean when the description from a weapon says that there is an improved chance of a critical hit? (how much improvement)

There are more good magical maces in the game than hammers and flails, although there are some staffs with interesting side-effects.

As far as improved chance of a critical hit, that means if you used to have to roll a 20 to get a critical hit then now you only need to roll a 19 or 20 so in this case your chances have doubled from 5% to 10%.

There's a Mace of Undead Disruption (don't know the exact name) to be won at the Battle Squares. I like it!

There are like 80 maces in the game. Maces, clubs and morningstars all use the Martial weapon: mace feat. Belib's Everlasting Torch and Club of Disruption are two of the best weapons in the game.
Go for Maces.

Maces have Critical hits at rolls of 20. When a weapon shows an improved chance of critical hit this would mean +1 to critical hit range. For Maces this would mean 19-20/x2.

Okay, I'll take maces then. Thanks guys!

If you run Weimer's Undead Targos mod you can get the Moon Maiden's Blessing (+2 mace, +2d6+2 vs. undead) by talking to Ulbrec's wife. Not bad having a +2 weapon to start a game with.

If you run Weimer's Undead Targos mod you can get the Moon Maiden's Blessing (+2 mace, +2d6+2 vs. undead) by talking to Ulbrec's wife. Not bad having a +2 weapon to start a game with. Does running this mod give you more experience than fighting the goblins or is it the same experience but tougher fights?

You get more experience overall (for quests rather than for kills), but the fights are tough - real tough.

Would it also be tough when you do this in HoF with a party that's already been through the game in normal mode (like most people appearantly do) and thus have the Club of Disruption?

I don't know about HOF--I'm soloing it right now in normal mode and it's tougher just down in the Docks area.

Yes, it is much tougher. In Normal the Skeles had 30 hp, and Goblins had 4. In HoF, the Skeles seem to have 130-140 (haven't done exact as of yet), and Goblins 115-125 (again I haven't hit perfect). So yes it is much harder, and even with Mace of Disruption the chance (25% I think) is still hard to luck out on. But I found you can usually do that much damage in a few hits. It takes two hits for my solo Great Sword Sorceror to kill a Skele in normal, and 5 in HoF so its not extremely hard :)

Undead have to make a fortitude save vs Mace of Disruption. Of course in HOF they have higher saves making it less useful but useful still.
It's great as a weapon switch.