My parents have a costco membership so I didn't get one as I can just get them to pick me up anything if I want it. My dad said it's definitely worth it because he saved over $100 on just one thing he bought (some tool). And they buy their vitamins there, where they are much cheaper than elsewhere (they go through hundreds of dollars worth).
We got a Sam's Club membership instead and so far it's paid for itself... and I guess that's what counts. We don't go very often... it's too far away, but if we happen to be passing through an area that has one, we stop in. The pizzas are great and only $7.88 for a 16" one - a great hit with our friends.
I find that generally the prices are about what you could buy an item on sale for... every once in awhile you could find a better sale, but it's nice to not have to wait for a sale to buy the item.