My girlfriend and I go back and forth on which is better... Sams Club or Costco. Needless to say, while there are fewer locations in town compared to Sam's Club, their selection of everything and anything one would need for their home, small business or zombie apocalypse. Personally my favorite parts are the $1.50 hot dog and drink or the uber tasty chicken bakes.
One of the little gems hidden in Costco are the watches. They range from run of the mill Seikos to Cartier, Omega and even Patek Philippe. All of these can be had for dirt cheap prices relative to their normal retail values in jewelry stores or even malls. Hell, they even have decent clothes when your in a pinch and need a dress shirt or board shorts, they have you covered.