I'm not particularly savvy to diamond prices, so all I can offer is my limited experience from 2008 when I was in the market. Further, diamonds aren't really fungible, so it's hard to compare pricing as you're really never going to buy the same diamond in two different contexts. That said, I'll provide the details of my own experience and let you decide whether Blue Nile's prices qualify as "good".
I got a "perfect" (D color, brilliant cut, flawless clarity) 0.5 carat diamond in a platinum band for about $4500 all inclusive. Looking at 3 brick and mortar stores, I did not find a single ring that compared in quality with what I bought from Blue Nile. Most retailers seem to cater towards larger diamonds, and I didn't want one of those - diamonds exhibit a serious iceberg effect, and a "larger" diamond doesn't always appear substantially larger when mounted in a ring. Based on what I did see, I expect a comparable ring from a brick and mortar store would be around double the cost and significantly harder to find. I did not check other online retailers.
Also, for what it's worth, I did not involve my wife in the ring-buying decision, favoring the element of surprise (I got her ring size by pretending to talk in my sleep for two months before the purchase and asking her nonsensical ?'s). Blue Nile's interface would be exceptional for involving a significant other, though - you can check pictures of an individual diamond as it would appear mounted in various rings, and I believe you could upload a photo of a hand to see how it would look when worn (I didn't do that - element of surprise and all). If it's not obvious enough from my posts so far, I'm a big fan of the company and would encourage anyone out there who's looking for a diamond to check Blue Nile.
# EDIT - Noticed the caveat about pregnancy. Blue Nile will also resize their rings for free provided you ship it back to them.