I really don't think you have to worry about buying a diamond at Costco or other not so sexy named places.
A GIA cert is a GIA cert.... As long as it is a legitimate store (and the cert. that you are getting is really the one that belongs with that diamond), you can be assured that the quality is gauranteed, no matter where you buy it. The GIA cert. is the equalizing factor here. Just make sure that what is on the GIA cert is what you really want (nothing is better than going to a local store and seeing the differences for yourself - then go and shop online). For more info about GIA and how it works, just go to
http://www.gia.edu/
I never told my wife where I got the diamond.... I just gave it to her with the GIA cert (which does NOT mention the name of the retailer). I explained to her all the research I did and all the info about how diamond grading works (at this point, I knew much more than she did due to all the data I had gathered).
p.s. - I didn't buy ours at Costco, bluenile.com., diamond.com, or any of the other ones mentioned above. I DID use them for research though and found them all to be really good and competitively priced and I wouldn't hesistate to buy one at any of those places. Remember, most of the diamonds in the USA come from one place, DeBeers. Here is an except of an article:
"Diamonds were not always so popular with the American public, and they were not always so pricey. A diamond placed in a mounting on a ring has a markup of about 100 percent to 200 percent. The only reason why we pay so much more for diamonds today than for other precious gems is because the diamond market is controlled almost entirely by a single diamond cartel, called De Beers Consolidated Mines, Ltd., which is based in South Africa.
De Beers stockpiles diamonds mined from countries around the world and releases a limited number of diamonds for sale each year. De Beers produces half of the world's diamond's supply and controls about two-thirds of the entire world market, according to a Washington Post report. At times, just to keep prices up, De Beers has bought tremendous numbers of diamonds from countries attempting to inject large quantities into the market. If De Beers were a U.S.-based company, it would be in violation of antitrust laws for fixing the prices of diamonds.
The secret to De Beers' success is a marketing campaign that convinces women that they should receive a diamond ring from their fiancee and convinces young men to pay "two-months salary" for that ring to show how much their love is worth."
see:
http://science.howstuffworks.com/diamond6.htm