I personally used Blue Nile 2 years ago, and have nothing but good things to say about them. Read too many horror stories of being ripped off in the Diamond District, was disappointed in the quality and quantity of what was available in the local malls / jewelers. With Blue Nile (and any other store for that matter), you should always back it up with an independent appraisal by a certified gemologist. BN has a 30 day return policy IIRC. The thing I liked about them was how easy it was narrow down a search for a stone with BN based on the 4C's and the budget you have to work with. Be prepared for a large price jump from just under 1 carat to over 1 carat. $3k will get you a nice quality stone probably somewhere between .8 and .9 ct.
And while you are looking, think about the wedding band you are going to get later as well. Some of the engagement bands are tough to match to wedding bands. Also, stay away from eternity bands, as you can't get them resized.
Good luck.
