We noticed this when shopping for wedding bands. The same basic band (4mm wide gold men's band) cost anywhere fro $350-$800 depending on the seller. It's complete nonsense.
With stones, though, I've had mixed luck buying online. Even if the size and clarity are what you want, you can't really tell if the cut is good until you have it in your hand. There may or may not be any difference at all between the different rings you're looking at, and quality may or may not be correlated with price. Check out reviews to make sure the company is well regarded, and see if they have a return policy if you wind up not happy with it.
We decided to go with a local independent jeweler, so we could actually look at the pieces and ask questions, and they were still on the low end of the price range. Plus they included an inscription for no extra charge, and threw in resizing my ring for free.