Buying an engagement ring is a trying task for any man. I write from the perspective of a straight male, mind you; feel free to substitute pronouns as appropriate to suit your particular situation. For that matter, substitute whatever token you intend to get for "ring" if appropriate. Regardless, it's not an easy thing to do. One of the biggest problems people have is the simple "what if she doesn't like it?" question. However, even though there'll always be some nervousness, ring shopping need not be an ordeal. I'm here to let you on the big secret of ring shopping: don't do it alone.
I'm not, of course, advocating that you actually buy the ring in your soon-to-be-fiancee's presence. That would ruin the surprise of the moment, and that would be a Bad Thing, because the surprise is half the fun. Hell, let's be honest; it's most of the fun. However, it's a wise person who doesn't propose unless the answer is already a foregone conclusion, and therefore, what's the harm of looking together with her? You don't need to propose immediately afterward; indeed, depending on the situation, you might wait to propose until months later. Time and location can remain a surprise, as should the ring's design. The fact that she knew you were going to do it sooner or later will not dull the emotional impact.
The trick is this: you're not there to look at ring designs. You're there to look at features. In particular, what sorts of things she wants in a ring. Does she prefer gold or platinum, or some other metal (or even an entirely different sort of material)? If you're going for a diamond or other gem, what cut does she prefer? Once you know the cut, might you want to consider any vendor-specific variants (which often really do look better, but you'll pay dearly for that beauty)? Does she have a specific size range in mind? Are there certain setting types which she wants to do? Does she prefer one large stone or several smaller stones, or no stone at all? Look in as many stores as you can, because there is a absolutely huge variety, and given the meaning and symbolism behind this, you owe it to yourself and to her to look long and hard to make sure you get the best thing you possibly can. You will probably have to stretch the ring shopping over several dates, if you're really doing it right. This is supposed to be a fun and exhilarating time in a relationship, so milk it for all the fun you can.
Take good notes; you're going to need them. The idea is then, several weeks later, to secretly return to one of the stores. You might pick out one of the exact rings you looked at, or perhaps -as I did- you might pick out a different design, which combines the features she liked. When you're shopping, make sure the jewelers you talk to know this; many will become more cooperative in this situation, both because they know they're competing with other stores and because they think it's fun.
One last thing to note about the looking process: don't take it too seriously. Keep the mood light. Joke a little, as long as it's nothing mean-spirited. Go ahead and make her try on that six-carat monstrosity, just for fun (if you do this, bring a camera to capture her expression as she puts it on). Let her parade you around a bit; certainly let her tell most of the jewelers what you're there for (though you should do it for the first store; this may seem like a small, insignificant detail, but it's actually a major reinforcer). Have dinner together, before shopping or afterward. If you're not having fun, then you're doing something wrong. And yes, there will still be some nervousness involved; that's only normal. But that doesn't mean it can't be fun as well.