Depends on when, how you want to get there. The closest is probably the one on 441 (Orange Blossom Trail). It is easy to hit if you are coming from the Airport by car and is the closest to ASSp as the crow flies. If driving into Orlando there is one right off the I-4 near Millenia. Access wise, it is probably the best.
If you don't have a car, neither are very close or convenient to Disney.
Just go to Google maps and type in "Costco Orlando" to see where the two are located. The Store Locator on Costco.com will also pull up the options, along with a description of available services at the locations.
ETA: Read 4 posts down for a better answer.