The second time around
I went local. Great small jeweler, came highly recommended by a few friends in the area. Probably paid "retail" for it, but I've been happy with it for the past 8 years. They clean and inspect the ring every year for free, too.
I suppose you could pick out a stone on-line and have it set, but for the money you'll be spending (I assume) I'd think you'd want to actually see what you were getting before you put down the cash.
Good luck!