My wife and I have been members of Sam's Club for years in an area where they were the only option - no Costcos. Recently we moved to an area where there are like 5 Costcos and 6 Sam's clubs nearby so we also joined Costco.
My first impression of Costco was somewhat negative. They wouldn't even let us do a sample buy. We had to plop down $48 for a membership to shop - period. Sam's club lets people do a sample buy without joining. That's obviously a much more democratic approach.
The way I see it, the two clubs complement each other. Each one has stuff the other doesn't so you come out ahead in the long run. But you have to buy enough stuff to be able to justify the two membership fees.
One item that is highly relevant to this forum is the high-intensity portable light that each club carries. Before I joined Costco, I bought the Sam's Club light that said "2 million power". I thought it was great. It was small and put out a lot of light. Then I learned of the Costco Thor Cyclops at "15 million candlepower". I thought, I've got to have this, so returned the Sam's Club midget and bought the Costco giant for only $10 more. It does seem brighter, though I didn't keep the Sam's Club one for a side-to-side comparison. It does not, however, seem 7.5 times brighter as the name implies. It doesn't even seem twice as bright but it has a wider beamspread. The beams of both of them are horribly uneven so sheer luminous power is their main strength. The Thor is very big and bulky by comparison and is almost comical in appearance as someone in another post pointed out. It has a nice big lead acid battery that was lacking in the Sam's Club one so I think it's a better deal.
Another case in point, I bought rechargeable AA and AAA batteries from both clubs. Sam's Club sells a pack of 8 2500 mAh AA + 4 850 mAh AAA Energizers for $19.88 ($1.66 ea.). For an extra $4.99 you get a charger that charges 4 batteries at a time over an 8.5 hour period. At Costco you can get 6 2500 mAh AA and 2 900 mAh AAA Sanyos with a 1-hour charger for $19.99 ($1.87 ea. / $4.99 chgr). The charger only charges up to 2 batteries in 75 minutes or 4 AAs in 155 minutes. Both are great deals. Each charger has its strengths and weaknesses.
So in the end, it depends on what you are looking to buy. You couldn't go too far wrong in joining either. Join both if you buy enough to justify the fees. Happy shopping . . .