We belong to both. BJs is actually within walking distance and the reason we have a membership there in addition to Costco.
If I had to choose only one it would be Costco. They have more variety, better prices, and more unique items. Their return policy is very very generous. The pharmacy is the least expensive anywhere.
Their Rotissere Chicken is great -- ex-large pizza at $10 bucks is a steal and great for a quick dinner/lunch to grab on the way out.
They do have their own in-house coupons
and just recently you don't have to have the actual coupon at checkout. There is a Costco app that has all the coupons and the cashier has a 'master coupon' that will automatically deduct any coupons.
That said, Costco does NOT accept manufacturer coupons. However, I have never found that to be a problem b/c the prices are less anyway.
If you get their executive membership it's $100 a year but you get 2% back in a check each year. Additionally, if you sign up for the Costco Amex card you get an additional 2% back each year -- plus a larger percentage on purchases other than Costco (I don't recall the exact percentages but it's more than the standard 1% for gas and restaurants). Either way, the membership pays for itself and if ever you are not satisfied they will refund that current year's membership fee.