As a diamond cutter I am asked quite often on how to purchase a diamond.   This from individuals that know little or nothing about them.  This is my advice.  First find out what makes a diamonds value, ask the right questions, get the answers on paper, shop and compare. 
Lets look at what makes a diamonds value.  There are four basic factors in the diamond industry that makeup the diamonds value and they are color, clarity, cut(proportions) and carat/size (weight).  These factors are known in the trade as the 4Cs, and each of these factors plays a part in the eventual price that the consumer pays for their diamond.  It is also because of these four factors that the consumer can adjust the 4Cs, to meet his or her budget or requirements for the purchase of a beautiful diamond.  This is done by trading off the various factors i.e. lowering color for size or lowering clarity for color etc.
I said ask questions, what questions?  Ask about the color, ask about the clarity, ask about the carat/size and ask about the cut/proportions.   Anyone that is trying to sell you a diamond should be able to explain the 4Cs, on the diamond that you are interested in purchasing.  If they can not answer these questions or are unwilling to write down this information, be careful.  If you have the information written down this allows you to shop and compare, and any good jeweler will be happy to help in this manor.  This will allow you to make an informed decision.
How do I know I am getting what I paid for?
The best answer is to deal with a reputable firm or individual, they will always stand behind there merchandise.  Another way is to get it in writing, it should be noted that courts have awarded customers the differences in value for diamonds that have intentionally been misrepresented.  You can also ask for diamonds that have been graded by a recognized GEM TRADE LAB.  You are usually assured that you are getting what you've paid for when a diamond is accompanied with a certificate.  You can expect to pay more for a papered diamond.  You should be aware that diamonds are a well known and controlled commodity and are strictly graded.  However grading is still a subjective process and a variance of a grade one way or the other may be acceptable on un-papered diamonds.  Its when the diamond is 2 or 3 grades off that is a cause for concern.  If you have a question about a diamonds grade, there are also independent appraisers and labs that for a fee, will give you the correct information concerning a diamonds grade.  As a final comment the GIA'S GEM TRADE LAB and the AMERICAN GEM SOCIETY LAB are recognized as the standards in the industry when it comes to a diamonds grade and anyone can submit a diamond for grading.