First, always check prices. Buying in bulk is usually less expensive, but on some grocery staples, the cost ends up being the same/more than a supermarket sale. Don't buy new things until you've tried them. If you're single, see if you can find someone to split the bigger things, esp. foods.
To me, Costco is geared towards businesses and other organizations. They only take their own coupons, which are usually for big-ticket items like electronics. Costco has different hours than the other choices. We didn't join Costco because of their hours - we usually shopped after dinner and they were closed by then.
Costco does make really great sheet cakes that are affordable. We've used them for church parties and events.
BJ's takes manufacturer coupons, has longer hours (open until 9/9:30pm). They also send their own coupons and have in-store coupon flyers for anything. Their own coupons lean a little more towards health & beauty as well as food items. BJ's tries to serve everyone: singles, families and businesses.
Sam's Club is family-oriented, being an offshoot of
Walmart, but they offer corporate memberships so that a small business owner can give each of their employees access as a "member." They take coupons, but I don't think they have their own coupon flyers. (I could be wrong, we have a corporate partner card.)
I believe they all offer one day trial memberships. Just go to the membership desk and ask for a shopping pass. If you know someone who is a member, the mailings usually include a one-day pass for a friend.
Some stores check for your membership card at the entrance (Sam's Club always has, in my experience), but some don't. You MUST have your card (or get a temporary one) to check out.
They all offer cheap prices at the snack bar, which is awesome. Plus, they off free samples in the morning (moreso on weekend mornings) so you can try some of the items before you buy the giant economy sized one.
They all offer services such as travel, optical, photoprocessing, etc. Prices are comparable, so the only difference is the staffing. However, the options vary from store to store though, so check it out before you choose. Not all have gas stations, for example. Costco's gas station is well-priced for members, BJ's is also a good price, but they buy gas "off the rack" so the quality varies.
Biggest drawback is that there are so many things to buy in big sizes, a shopping trip can be costly. You have to have willpower to resist the impulse purchases that can drive up your bill. DH calls them the "$200 cart stores" because it's very easy to spend a lot of money without realizing it. If you choose well-priced non-perishables that can be used over time, it's more like an investment, though. I can go months without buying freezer storage bags, so buying a bunch in bulk makes sense if I have a coupon.
Given a choice, I prefer BJ's. Their hours fit my schedule, their staff is friendly and competent, prices are good (if you pay attention), they take all kinds of coupons, and many of their bulk items are individually packaged so storage is easier. (ie. four regular-sized boxes of foil in a bundle vs. the giant roll that weighs a ton.) It's further away, so I wait until I have an errand in that area.
On last caveat: anytime I've bought something food-wise that my kids LOVE, they will lose interest in eating it. Take cereal for example: if I buy the supermarket-sized boxes of a cereal, they can't get enough of it. As soon as I buy the BJ's-sized boxes, it will go stale. I think the box size is so big that it turns them off, or seeing the box sit there week after week makes them think it's gone stale. Sometimes I trick them by saving the supermarket box and refilling it from the BJs stock, which helps, lol.
