As much as I hate to be contributing to the spread of the evil empire of the Walden Family, I love our Sam's Club. We just about make up the cost of membership per year on savings at the petrol station (that's "gas station" to in USAish) alone.
I'm not sure how to say this without sounding like a horrible snob, but the membership requirement as Sam's does a good job of making for a much more enjoyable shopping experience. I absolutely loathe setting foot in Walmart because it's so freaking depressing, Sam's does a good job of seeming much less lowbrow while maintaining good prices.
I also like some of the choices here like decently priced MEXICAN COKE packs (all hail cane sugar!), probably the only really good rotisserie chicken I have found so far in the USA and for under $5 per bird, a large bakery with great bread, and even some premade options - I love the buffalo chicken wraps!
The only really bad thing about shopping at Sam's for me is that it can be a pain to carry the huge economy sized stuff up to our apartment.
This particular Sam's is quite new and pleasant with lots of room to move. I've found some of the other locations a bit seedy by comparison.