Based on the average prices I dug up here, I seem to have paid my local jewler by ~$700 compared to internet prices. I don't mind paying a little more to my local merchant but this seems excessive (price was $2,700 + necklace + tax).

I understand that the net prices are just for the diamond itself, so how much should be factored in for setting the diamond into a pendant? How much should be factored in to support one's local merchant? What I'm trying to figure out is by how much I really overpaid, if at all.

You are right, Internet price for such a stone would be about $2,000.

As for the necklace, I would compare prices at Blue Nile and Mondera for the similar type of necklace. For example, 18 karat necklace with 0.3 carat diamond cost $725 at Blue Nile. But this can vary because of metal, style, size, etc. of the neclace.

Interestingly, I found Mondera prices for the loose diamonds quite low right now especially since it is credit card prices.

Could you please give a ballpark figure for the necklace settings as in the Paul's question?

I don't think it's a hook - some of the listed diamonds are in stock and you could get them overnight. It seems more like very aggressive price strategy. Another question is whether it can be profitable...