I had a very good experience with O'Neil's in Wellesley. I was able to get a very fairly priced diamond without the price haggling that you will find downtown. They are located right in the center of Wellesley. I found Shreve's and Tiffany's very expensive, and I did not trust anyone I spoke with in the "Diamond District" on Washington street.
Just FYI this is the diamond I purchased today:
1.03 Carat
VS2
57 Table
61 Depth
H Color
$5700 with 18K White Gold Solitaire Settting
Beautiful stone.