Can you buy a diamond on its own?

Can one truly purchase a diamond independently, or does it always come attached to some form of jewelry or certificate? I'm curious to know if the consumer has the freedom to simply acquire the gemstone itself, without any additional embellishments or formalities. Are there specific vendors or markets that cater to this niche demand, where one can select and buy a diamond in its purest form? Furthermore, are there any potential challenges or considerations one should be aware of when embarking on such a purchase?