Diamond brokers are like mortgage brokers: Everyone knows "a guy" who will hook them up. I think it is a pretty treacherous area. When I was shopping for my fianceé's engagement ring, I talked to so many people who "knows a guy who knows a guy". I shopped quite a bit and it just got more confusing.
I wound up going to a guy in Vancouver, Canada. I have family there so while I was up there I made an appointment to go see them and check out some stones. I thought they'd be massively expensive when I saw their incredible view from their offices of the mountains and water, and when I saw the pictures of just about every Vancouver Canucks hockey player in addition to Cami Granato and other celebs. I was very pleasantly surprised. They beat Blue Nile on price and I got an absolutely gorgeous stone. (1.04 ct Princess cut; E; VVS2) I know it's nice when the sting of the cost is surpassed by the beauty of it. What is also nice is that they have an in-house jewelry designer so we were able to pick the stone and immediately have the setting designed. The Fed Ex'ed it to me fully insured duty free.
This is just a suggestion based on personal experience. Where you go might also depend on what you're looking for. If you're looking for something more "ordinary" then Blue Nile is good. I bought a pair of diamond earrings from them last Christmas. They were nice but I found something I liked better at a local store. The return was fairly easy.
I'm sure the guys here have plenty of other places you can check out.
http://www.carats.com/index.html