In my (admittedly limited) experience, the best way to buy a diamond ring, is to buy a diamond and then have the ring made. Since the markup on jewelry is usually around 100% even when it's "half price", you'll get a vastly higher quality piece for a given cost. Assuming you get the lady involved, you also have the advantage of a ring that looks just the way she wants.

Mrs Smithy and I did this and her ring has been valued multiple times since then (insurance as we've been moving around). Even the lowest was over twice the cost of the diamond and ring combined.

Finally, look at artificial diamonds. They look just as good (technically, better), are a lot cheaper and are pretty much guaranteed free of any sort of violent history (if that sort of thing is a concern to you).