Costco.
Get the $100 Executive membership with their AmEx card. It gives you 3% back on gas, and Costco's gas is always .25 cheaper than anywhere else. I use the card to pay bills and for gas, and I get back around $180 each year. It pays for the membership and I get some extra.
Costco and Sams have two different models. Sams is mostly "buy a big quantity and save!" Costco is better, imo, because they have shoppers that go out and contract companies so they can sell unique and top quality products. Their meat dept. is top notch, their fruits and veggies are the best available, and their other products are either unique to Costco or they have something added to them that nobody else offers.
An example of this would be cell phones: if you buy, say, a Droid Bionic from Costco, you not only get the phone, but a desktop dock, and extra battery, and a car dock. If you buy an XBox, you get the console, a free HDMI cable, and two free games. Etc.
They also add 2 years onto the warranty for their products and have a very generous return policy. I've bought food there that I didn't like, told the customer service about it, they looked up my transaction and credited my account back. I don't know of anyone else that would do that.
So, Sams is for bargain shoppers, but nothing beats Costco.