FWIW I also purchased from Blue Nile with no regrets. I first purchased an I color diamond but when I got it I thought it was too "yellow" for me. So I returned it and everything went smoothly. I then purchased another one from Blue Nile - a G color - and that was the one. Price was competitive as well.
The only downside to Blue Nile is they don't give you digital pictures of the stone ahead of time so you can see what it looks like. They also don't have an upgrade policy - some online vendors offer to apply the purchase price of your stone to an upgraded stone in case your fiance ever wants to go larger. One of these vendors that is rated well is
www.whiteflash.com.
I shopped them when I was first in the market for an I color stone. I thought they were very responsive and had a great selection, but they subtly pushed J color stones which I didn't like, and BlueNile happened to beat their price.