DH and I feel it is absolutely worth it! I can't imagine not being able to shop at Sam's Club! I know there is Costco too, but we don't have one in our area.
Here is just a partial list of things we buy on a regular basis at Sam's that are nearly always cheaper than other stores - sometimes MUCH cheaper.
Milk
Vanilla Silk Milk
Naked Juice
Frozen boneless skinless chicken breasts
ground beef
ribeye steaks (under $7 a pound and so yummy!)
Splenda
coffee creamer
paper plates, styrofoam cups & lids, dixie cups, plasticware
cans of Progresso soup
Zyrtec/Claritin
Tylenol/Excedrin/Ibuprofen
Iams dog food and doggie treats
Frozen strawberries and other frozen fruit
fresh fruit and veg's - lots of variety and overall good quality
Skinny Cow ice cream sandwiches
Light whipped cream
beer/alcohol
bakery stuff is usually pretty awesome for a great price
and last but not least....
their hot ready to serve rotisserie chicken is awesome and a great dinner starter for just $5.
Wow, I think I just made my next shopping list!
we have also bought a 50 inch tv there that was normally at least $1500, on clearance for $600, an elliptical machine on clearance, a GPS unit, tires for the cars, etc... and several other bigger ticket items.