I know this gets asked a lot so I figured I'd give a truly firsthand answer. I've now purchased from all three for different pieces.
Blue Nile
Bought: 0.91ct H-VS2 GIA Excellent round for $3,800
Experience: Smooth checkout, arrived in 5 days, GIA cert arrived separately. Diamond looks great. Zero issues. Customer service was responsive when I had a question about the prong type. Best price I found for this exact stone. The 360° videos are lower quality than James Allen.
James Allen
Bought: 1.05ct G-SI1 GIA Excellent round for $4,900
Experience: Their True Hearts (Hearts & Arrows) stones are genuinely beautiful and well documented. The 3D spin viewer on every stone is excellent — you can really assess the stone before buying. Slightly higher prices than Blue Nile on comparable stones but often worth it for the video quality alone. Lifetime warranty on settings is a plus.
Local independent jeweler
Bought: custom eternity band
Experience: You pay more — typically 20–40% above online. But: you see the stone in person, you can negotiate, you build a relationship for future repairs/resizing, and they can do custom work that online retailers can't. For the main stone, I'd still go online. For custom settings or if you need to see before you buy, local is worth the premium.
My recommendation:
Use James Allen to research stones visually (their videos are best). Then check Blue Nile for the same certificate number — often cheaper. Buy wherever is lower after you find a stone you like on both sites.
Local jeweler for the setting, online for the stone. Best of both worlds and I got to see the setting before deciding.