I'm not reading through all the responses so I apologize if everyone has already said what I'm about to say.
I hope have a unique perspective on this as encourage responsible spending habits to clients and I have run a jewelry business for the past 13 years.
Retail stores go to the same wholesalers to get their gems. Then they price them. There's a general suggested price in particular areas and it's up to the store to decide how much mark up.
Sure, diamonds have vast different quality, but you can get a nice color, cut, clarity from Costco just as you can get a really crappy cut, color, clarity from one of the more well-known jewelry stores.
Some folks aren't happy, though, unless a large price is spent. I've always priced my pearls reasonable and once had a woman declare they were fake since they weren't expensive. Um...ok..you can pay 500% markup plus labor if you want....
If my fiance had purchased me a decent stone from Costco, then I would say he is fiscally wise and won't be spending us into the poor house down the road. This is so much better than if he gave you a $20,000 ring from Tiffany's and you are now paying $450 per month for the next five years.
It's all relative, but be happy.

Save money where you can and don't fall for these shiny marketing campaigns. Diamonds are diamonds are diamonds once you establish the cut/clarity/color etc you desire.