So I finally gave in and bought a membership at REI. While I still find prices on some items to be too high, there are some deals if you do your homework and they have an excellent return policy. Plus if you're going to spend the money anyway, you may as well get the members rebate.
Also, the annual garage sale where they sell returned items is fun, although it's totally hit or miss whether you'll find anything. I spent three hours waiting but wound with a pair of new Shimano pedals for my bike at a great price.
I have a feeling I'll be here a lot more in the future.