Wholesale Clubs??? Worth it?

I have a membership to BJ's. At my last trip to the store, the check out girl brought it to my attention that my membership will expire at the end of this month. I'm not sure I want to renew it. Is it worth $40 to shop there per year? Are there certain items that you get really cheap at BJ's or Costco that you couldn't find for similiar prices at Wal-Mart or the Dollar Store? There's nothing worse than going to BJ's and filling the cart and finding out the total of your bill is more than you thought because, oh yeah, they tacked on your annual membership fee... which I'm all for renewing the next time you go shopping (not "pre-renewing" through the mail) but I think I can find bargains at Walmart... now once we get a Super Walmart, I'll be psyched. I just have to bring up the example of my favorite cereal again - Oatmeal Squares by Quaker... in a past post I mentioned that my Stop and Shop sold a box for like $4.50 and I found the same exact product at Target for $2.79. Since then, my Stop and Shop has come down to $3.79 (did they read my blog? tee hee)... However, I went shopping at Shaw's last week and I kid you not, one box of Oatmeal Squares was literally FIVE DOLLARS!!!! Are they KIDDING? What's up with the total variance in prices???? So, I ask you - convince that wholesale clubs are the way to go (or not to go!).... I'd love to hear about your favorite bargains (wholesale club or not)... inquiring minds want to know!!!! Thanks everyone!