My boyfriend/housemate has a membership through work, so I've gone to Costco with him twice, most recently yesterday. I have been disappointed in their "deals," with some exceptions. Part of that is probably due to what I eat; I don't eat animal products or refined grains, and I avoid most processed foods, so that eliminates a lot.
Things I do buy there that seem to be cheaper than elsewhere:
-Toilet paper
-Organic spinach ($3.50 for 16oz is much better than I've seen anywhere else!)
-Frozen fruit
-Brown rice
-Avocados
-Cholula hot sauce
-Medjool dates
Things I've found better deals on elsewhere:
-Nuts (at Sprouts, when they're on sale, which is often)
-Vanilla (Buy the cheapest vodka you can find, order vanilla beans from Amazon, slice beans in half lengthwise, put 7 of them into a 750mL bottle, shake, set aside for several months, shake occasionally -- voila, 750mL (~25oz) vanilla extract for about $16)
-Spices (I get these at the local Mexican and Middle Eastern markets, or rarely on Amazon when I can't find something locally)
-Fresh produce (We grow a lot, but also it appears that Sprouts has better deals, if you're willing/able to create meals around what's on sale. Pineapples were recently on sale for 98 cents each (not per pound!), and they're $3 each at Costco.)