The best way to build your own fine jewellery collection is not by waiting for the right man to whisk you off to Tiffany & Co or Bulgari but by simply buying into real vintage jewellery.
 
Art Deco pieces are quite valuable and popular at the moment so you may pay quite a high price for them. Since I am personally not a fan of Victorian jewellery, I would say that good finds start coming from the Thirties and Forties onwards. The price of gold is at an all time high at the moment so go for it- invest in chunky gold jewellery! In the Forties they were particularly inventive with the use of gold - the war meant that diamonds and stones were in short supply and instead they played with metal and volume. So the pieces look chunky but they are actually quite light because they didn't want to waste too much material. They are very modern in design and, I bet, good investments.
 
With vintage jewellery you can really go bold since you are getting a lot for your money. Don't be shy and buy into statement pieces, colourful stones and unusual watches from the Fifites and Sixties. (Piaget did some great ones with Tiger eye, Coral and Lapis Lazuli).
There are quite a few good shops in London in the Burlington Arcade and there is always Partridges on Bond Street (look out for jewellery and amazing watches by Andrew Grima), and of course Alfies Antiques Market.
 
You can always check out the auctions (Christies, Sothebys...), but you will not find real bargains there. In Paris look out for shops on Rue St Honore in the 1st. Or, even better, search outside London in village shops and antique fairs - but be prepared to rummage - this is the equivalent of charity shopping in the jewellery world.
 
Otherwise start building your own collection by buying into the new designers whose value will increase over the years, and certainly once they drop dead... you never know they may become the Van Clefs of tomorrow.