I used Blue Nile to buy my wife's engagement ring and was very happy with the service/quality. The online customer care agents actively pushed me to buy the lowest quality diamond that would appear 'best', as there are many levels of quality that can only be seen under a loupe by a jeweler. All of these grades will appear to be equivalent to the untrained/unaided eye.

She needed to get the ring resized later and it was very easy. Returned via FedEx and had it back a week later.

I don't know about their margins but I found an attractive ring for 1 week's salary (vs. the crazy idea we should spend 2 months). Even if they make a nice margin you have sufficient selection and control over the 4 C's that you can save money that way. I decided to get the a very good cut and best color possible since those are visible to the naked eye. Clarity (at least at the levels offered on blue nile) is only noticeable under 10x magnification. So it make no sense to me but skimp on clarity. Then I chose between shape, and carats. The marquise shape can also save you money because it looks larger with less carats. Also say what you want about the stupidity of engagement rings, but if you're going to get one, choosing a very small diamond just looks unbalanced to me on a finger.