I am currently a member of both, which I recognize is an un-Mustachian splurge. I like them both for different reasons. Sam's is closer to my house and there are certain products I tend to buy more there. They often have discounted meat, so I buy that there. Their diapers are significantly cheaper than Costco. I prefer their hot dogs (Nathan's FTW!). I also prefer their clothes, and they tend to discount them more often than Costco's. I have never scored the deep clearance things at Costco that I have at Sam's. For instance, I only buy my wrapping paper at Sam's after it is marked down more than 50% after Christmas.
I prefer the experience at Costco better, as the employees are treated better and therefore are more friendly and overall chirpy. They also have a much better return policy. As far as products, Costco has more organic, so if that your thing, you should go to Costco. Their loaf bread is also cheaper and better quality than Sam's. The 2 lb block cheese is a great value, as is their decaffeinated coffee. Costco has better toys at Christmas. In general, their home items are of better quality, and we often buy name brand shoes for $19.99. They also have a $14.99 flu shot, which is as cheap as it gets if you can't claim it on insurance. Also, their eye glasses are super cheap.
As far as pricing, it can change from week to week, so you have to watch. For a while, string cheese was cheaper at Sam's, but now it's significantly cheaper at Costco. I usually play their sales off each other. I.e. if I need ketchup and it's on sale at Sam's that month, I buy it there. I have three kids, so we go through a lot of snack foods like goldfish. I just buy whatever is on sale.
To sum up, I like both, but if Costco was closer to my house, I would likely drop Sam's once my last kid is potty trained. The more pleasant atmosphere of Costco is enough to sway me towards them instead of Sam's, even though I would miss a few products at Sam's.
