Gator,
There are several highly respected and highly reputable online vendors. Some of the names you'll see pop up frequently on this site are GoodOldGold, SuperbCert, and NiceIce among others. I just recently purchased my first diamond over the internet, and after many months of reading these message boards and obsessing over diamonds, I finally purchased an absolutely stunning stone from Robin & Todd at NiceIce. I had a wonderful buying experience with them (as have many others), and I highly recommend checking out their website or giving them a call to speak to them personally.
There are many great online stores besides giants like Blue Nile and Mondera. Luckily you've found this site and are able to do the research before investing in the stone. I wish you the best of luck in your diamond search. If you have any other questions, feel free to ask, as the people on these message boards are very friendly and willing to help.
Take care,
Dave