I think that you should practice arpeggios across two or three strings, this will improve the coordination between your right and left hand and will improve your stretches with your left hand and your picking with your right hand. I have posted an exercise which I would recommend to anyone wishing to improve their dexterity, I still practice it today between all the shredding mayhem. This probably did more for me than practicing scales but I recommend that you do both and make up your own exercises along similar lines.

http://www.guitartricks.com/2000/trick.php?trick_id=6670