I belong to all three and if I had to pick only one, it would be Costco. BJ's would come in second. Sam's has it's good points, too....maybe that's why I have memberships to all three.
There is a Costco in Altamonte Springs, which is less than 100 miles away. Just went to BJ's a bit ago. They have some foods I can't get at Costco or Sam's. Kind of nice having all the memberships if you travel....good gasoline prices as well as an inexpensive quick lunch...