You can see and compare diamonds, get education and extra services, etc. So if the price is reasonable you might want to help your local guy. Leonid is right, there are advantages with local jewelers- but not price. Actually, the only advatage is being able to repair your ring because you live close to one. The fact is, many online and private dealers should offer repair services for you at no additional cost.
Customer service is the KEY to success.
Ask about that to whomever you're looking to buy jewelry whether its next door or 2000 miles away. Someday you may find that on line prices were too good to be true for many of the present body of on line vendors. I recognize the value of low overhead, but many of these sellers will go on to some other line of work that pays better in a few months or a few years. Right now, this diamonds on the 'net thing is a popular business model. In terms of longevity and service, I give the best chances to real stores that decide to compete while making local people their long term customers.