I like the Blue Nile web site:
www.bluenile.com
You can do a lot of "window shopping" from the comfort of your own home.
Their educational section is great.
I heard somewhere that they buy from the same wholesalers as Tiffany's.
And they have an awesome reputation for having many women in high-ranking executive and board positions, which IMHO makes them a company worthy of support.
On a different note, you can add a lot of sentiment to your bands for little money by having something special engraved on the inside of the bands.