Kendra at Preschoolers and Peace gave her Master List for Costco, and she posted Margaret's as well. We no longer use Costco (for various reasons, one of them being that ours is located in the mall and it's a booger to find parking and get everyone inside and then back out once the cart is full of unbagged groceries). But we have enjoyed our local BJ's. We view our BJ's trips as a family "outing"! However, we try to limit ourselves to what we know we can't purchase cheaper somewhere else (read: Walmart). Here, so far, is what we have found to be cheapest at BJ's:

BJ'S

whipped cream in a can (for the iced coffees!)
butter

honey
maple syrup
chocolate chips (Nestle semi-sweet)
nuts
Nutella
nonfat dry milk
oil
yeast

diapers -- Luvs size 4, Berkley & Jensen size 1/2
toddler wipes (Berkley & Jensen)
infant wipes (Luvs)

Please share your lists, too!