I got the Eurostar to Brussels, then a train to Antwerp where I met a guy in a hotel room, handed over a brown envelope full of US Dollars in exchange for a plastic wallet with a rock inside it!
Had moule fites for lunch, got the train home, dropped the stone into my favourite jewellers and had a ring made from a sketch!
A family friend used to be a diamond dealer so it was he that I met - my jeweller reckoned I saved at least 60% on the UK price of the stone and I got massive brownie points for the romance of it all! Only issue now is trying to insure the bloody thing!
Suspect you'd need to know where to go and what to look for, but Antwerp is where all of the rocks come into europe from the mines, so will always be the cheapest place to buy (in dollars at least - the euro rate would be cr4p at present).