It is not cheaper, they make you think you are saving by buying in bulk, but you really don't. Go and compare the prices find out for yourself, I have. Usually, you can find really good sales at Smiths, Albertsons or any local grocery store that are a far better deal. Gas is cheaper. Maybe if you gas up there all the time, and there are no other comparable gas stations, it may be worth it.
Some stuff is not cheaper and better deals can be had elsewhere like meats and veggies. Example: Sprouts fruit, right now local Sprouts has natural ground beef for $1.99lb for the past month they've had seedless watermelons for $2.99.
But 40 16.9oz water bottles at Costco here is $2.99 much more and cheaper than any other place I've found. Their alcohol prices are really good and usually are 1.5 liters for less than the usual price of a fifth. Some back I bought a fifth of Basil Hayden's at Costco for $32 everywhere else was at least $40. Their brand of ready to drink margaritas is $6.99 for 2 bottles.
It really just depends what is needed and used often. I'm very cautious with money.