once you get past the quality of the stone/stones, you'll find VAST differences in the quality of settings. In quality of metal, (real sterling silver???), design, and execution/craftsmanship.
I've seen good pieces intermixed with pretty nasty looking stuff even in the better stores. I've never seen really good quality being sold by beach vendors / souvenir shops. My favorite local store is the Amber Museum... but I'm in P.C. I don't know if they are affiliated with others of the same name in other locations.
Although I'd rather "buy local", the nicest pieces I've gotten (for special occasions), has been online. Larimarket.com is a favorite. Pricey, yes, but quality. They specialize in one designer, but the variety is pretty good. And NO... I have no connection whatsoever with them... other than as a satisfied customer several times.