I myself like to do something special. usually something that i have put A lot of thought into. One year I spent 6 months collecting pictures from all her aunts and uncles and made a 10 minute video scrap book. It cost me all of 5 bucks, and is still a prized possession, even though i'm not longer with her.
I like to buy multiple smaller gifts that all mean something, not just a ring, but maybe something that represents the both of you. I've always found that If i can tie the gift into the relationship some how (jewelery is easy...think birthstones...) they come over really well, even thought i might not spend a fortune on them.
As mentioned before, most women feel that it's the thought that counts, so keep that in mind.
Mike