I don't necessarily think I save money shopping at Costo, but I'm able to buy higher quality items for lower prices. In addition to that, I do the bulk of my monthly grocery shopping at Costco and I appreciate that I can buy the majority of the things I want all at one time.
Things I find to be a great deal at costco:
no HFCS whole grain bread
nuts (cashews, mixed nuts)
cheese (especially imported cheese!)
nitrate-free bacon, hot dogs & sausages
lunchmeat (I know, I know, there are healthier options!)
the occasional processed snack food/meal... I bought Tangerine Beef the other day that wasn't the healthiest, but was super yummy (6 thumbs up) and way cheaper than take out
I tend to buy most of my meat locally (we raise chickens, and buy local organic beef & pork in bulk), but I do occasionally buy lamb at Costco, and I've been happy with their seafood and nitrate-free processed meat (hot dog/sausage) selection.