COSTCO

Costco (and Sam's Club and BJ's) is a members-only discount store that has everything from food to eyewear to cars and furniture and electronics. Some Costco's have gas stations. 
I personally prefer Costco to the others. They have a larger selection and I like the way they treat their customers and their employees.Most of Costco's merchandise is sold in large lots.
You can get great deals at Costco if you comparision shop and can use the large quantities.
One idea is to split a membership and split quantities of merchandise.
Some things I've found that are great Costco deals:
~ limes and lemons - about $5.00-$6.00 a 5 pound bag. Always expensive at the grocery - but watch out! They can spoil before you use them up!
~ butter - 4 onepound boxes for $6.79. Cheapest I've seen outside of the very occasional sale at the grocery.
~ milk - 1 gallon around $2.20 - 
~ organic brown eggs - 2 dozen for $4.99! Those are just the deals that come to mind immediately.
Find the nearest Costco:

http://www.costco.com/Warehouse/Locator.aspx