I got my wife's engagement ring from diamond.com. It was around one third the price of mall stores. They get all of their diamonds from Steinmetz, and they're all GIA graded. The particular diamond I got was a 1.25 carat, F color, SI1, Ideal emerald cut and it was $4,000 (the .75 carat setting I chose was $1400). A similar loose diamond from Zales was over $10,000 and it was a J color with I1 clarity. Note that the prices have gone up a bit as the dollar's value has fallen over the past two years.
I found that Zales and the other mall stores don't even offer 1 carat diamonds that were better than H color, at least where I was looking. The salesmen act like diamonds in the colorless range don't even exist. I would recommend going to a store and finding one you like, get a feel for the carat size and cuts of different diamonds and settings, then purchasing at diamond.com or bluenile.com. I do the same thing with electronics.