We have both Costco & Sam's, but no BJs.
Comparing Costco to Sam's:
I think...
Costco has the better roasted chickens. They're bigger than Sam's and they don't have that funny taste. (The bones make wonderful soup)
You can buy just one gallon of milk at Sam's. You have to buy the 2-pack at Costco. (2 gallons of milk = ~16 pounds = too heavy for me. I don't lift anything heavier than a pair of socks)
Sam's has much better party/restaurant supplies.
Costco has much better Holiday gifts.
Sam's has that dynamite mustard over near the deli case.
Costco has a better selection of cheeses and quiches.
As you can see, they're similar, but they're different. I think it all depends on your shopping needs. If you need one gallon of milk and some fabulous mustard, then Sam's is the place. If you need a roasted chicken and a quiche, then Costco is the place to shop.
These are just my observations, and are not intended as an endorsement.... :
(We tend to shop more at Costco simply because it's closer)