Rachel, on her blog Holy Craft, does some price checking between Costco and grocery stores and reveals her findings. To me it seems that every thing is priced so it's at least $7, whatever the size.
There are a few things I go to Costco or BJ's for specifically (spring salad lettuce mix, peppers, green beans, olive oil, balsamic vinegar, deli meats, roasted chicken) and the rest I purchase at Aldi's, WalMart or the grocery store.
From Rachel: What I buy at Costco
Check out Rachel's blog - she also did an interesting series on what NOT to buy at the Dollar Store (here).
What do you buy at Costco/Sam's/BJ's?