I use both Sam's and Costco. Believe it or not I joined Sam's to buy the MES, since it wasn't a product my local Sam's stocked, once a member I could buy it via Sam's online service. I have been a Costco customer almost since they opened. There are some differences between Sam's and Costco, one is Sam's hardly ever has any lines. I was shopping at both Sam's and Costco this past Christmas, at Sam's no lines, at Costco, every cashout register had a line 10+ deep. So guess where I went first to do any shopping. My wife has gone through our local Sam's twice, and shops weekly at Costco, and is fairly convinced that Costco on the average has slightly better pricing. Personally I think it depends on the item, Costco has some lower some higher, I am comfortable at both places buying something because the prices are not rip offs. I would hate to Sam's fold they help keep Costco competitive.
Sam's owes my patronage thanks to Ronp, he has been touting Sam's since I joined SMF and convinced me to keep using Sam's.