I was just looking at Cheese at Sams yesterday. Here, the best they had was $3.50 a lb for block cheese or $3.10 a lb for shredded. The local places are normally $6 a lb for cheese. On sale, you can get it for $4 a lb. With a sale and coupons, you might get down to $2-3 a lb.
I forgot to mention yeast. If you bake a lot, you can get 2lbs of yeast at Sams for the same price the grocery store sells the tiny jar (4oz) of yeast. That means the grocery store charges 800% the price of Sams on yeast!
Vitamins can also be a lot cheaper. My wife was buying some vitamins from Amazon, because they were cheaper than Walgreens, CVS, RiteAid, Meijers, etc. I looked up the same stuff on Sams and you got 20% more pills for 80% the cost. Same with allergy meds and whatnot. You might do better at RiteAid or one of the other places when they run their B1G1 promotions, but even then you might just break even since their prices are jacked up regularly.
Things that are more expensive at Sams...
Diapers and wipes. Store brand at Meijer is significantly cheaper than even Sams brand diapers/wipes. Some sizes can be cheaper at Amazon, but Meijer wins 90% of the time.
Fresh meat. With few exceptions, the fresh meat at Sams is the same price as the grocery stores and requires crazy bulk buys. Example, they have Pork Shoulder for $2.50 a lb right now. That's the normal price at Meijer, and it regularly goes on sale below $2 a lb. Their ground beef is $3.50 a lb, and I can get that same price at Meijers, but it often goes on sale for $3, occasionally for $2.5, and rarely $2 a lb. Bacon is typically $1-2 a lb more expensive at Sams.
Frozen Packaged Food. If the items are cheaper at Sams, it's because they have a crazy big box and it's probably stuff you don't want. For example, we used to eat frozen pizzas every couple weeks. We tended to stick to the fancier brands (Frescheta or Digorno). Sams sells them with a better per pizza price than Meijer's regular price, but you have to buy 3-4 pepperoni pizzas. We liked to very the toppings a little, but I tended to go with Supreme due to the oz per price factor.
Hamburger Patties. You can get them cheaper at Gordon Food Supply, and you really should be making your own. Wait till ground beef goes on sale for $2 a lb and make a ton of 1/4-1/3lb patties. Put some wax paper between them and freeze in ziplocks.
Milk. Sells for $2.97 a gallon. Meijers sells for $3 a gallon, and a local supermarket sells it for $2.25-$2.75 (gets more expensive the bigger fat % so skim is cheapest).