Chary- I thought like you, and was looking for an antique ring from the 20s/30s. I would suggest that you also look at the various auction company catalogues online to see what they have in upcoming sales. You would be very suprised at the great deals that you can get there, as diamonds have a relatively low resale value. You can get a lot more for your money, and compete directly with the dealers who mark them up before selling them in their shops. You just have to factor in that many auction houses add a buyer's premium on top of the auction price. I looked into that option, but in the end we ended up getting a ring from a dealer in the diamond district in NY who specialises in art deco style settings, and we had him set it with an old diamond from the 30s (I love how the old cuts reflect light).
My rings are platinum. Being in the diamond district, we got fantastic prices on all of our rings. I highly recommend going there if you are in New York and looking around.