If you are strongly liberal then not supporting Walmart might appeal to you ...
I wouldn't even say you have to be strongly liberal to appreciate a company that doesn't systematically shit on their employees just because they can, but ok.
Of the two, I prefer Costco. We've got an Executive membership because we spend enough that it more than pays for itself with 2% rebate (a check spendable @ costco).
In general, for per-unit pricing, it usually breaks down like this:
Grocery store or other regular retail (most expensive)
Costco/Sams
Retail on sale
For most items (at Costco at least) you're paying at least the same amount for a package of whatever, but you get more in it. You have to be able to use it all for it to make sense. I buy almost all my meat there, and any produce I know we'll go through.
Deli ham @ grocery store = $9/lb, any amount (1 slice)
Deli ham @ Costco = $3.50/lb, but you have to buy 2 lb packages
For many items, you'll pay about the same for an item but get extra stuff bundled - Xboxes usually come with an extra game or whatever.