Without recommending a specific vendor I can tell you where the jewelry district is. There are a few plazas over there near the Eaton Center across the street, about 40-50 vendors on street level. All the jewelers in downtown Toronto are pretty much between Dundas/Queen and Younge/Church if memory serves me right, it's been about 4 yrs since I was last down there, forgive me Best of luck to you.
Look in yellow pages under Diamond Brokers. They are mostly located at 21 Dundas Square right across from the Eaton Centre. Also try John Shearer located in Hazelton Lanes - my former boss bought some stunning stones from him. I live in Toronto and bought my diamonds from New York because the pricing was better. Was sent via Fedex to Buffalo where my DH picked up the ring. Not saying how it got across the border as we had a "Don''t ask, don''t tell" policy on that particular piece!
I too am from Toronto, and after being given many different answers as to what makes a great diamond (ranging from colour, to clarity, to size) from different jewellers and wholesalers.
We ended up buying online from James Allen and ended up with a wonderful stone for a lot less money!!
I live close to Toronto too, but bought my upgrade diamond online from Blue Nile (before found PS). I lucked out, but could have paid a lot less had I known about jewelers like GOG, James Allen, Whiteflash et al.
If you decide to buy in Toronto, read all the tutorials on PS first so that you are well informed going in; chances are you will be better informed than the salespeople in the store.
As an example of exhorbitant prices here, I saw a 3c. G VS2 Amorique cushion in B**** last Saturday where they were asking a princely $107,000!!!! No negotiations allowed on their proprietary Amorique, of course.
If you do a PS search (top of page), you can get a good idea of what you should be paying.