Credit unions are typically more competitive than big banks in general. If you truly want to make the most out of every penny then you should be unbundling your bank services (checking at CU A, savings at CU B, credit at X, etc.). This is especially easy with credit unions because they are typically part of a cooperative that streamlines inter-bank transfers (it usually takes < 24hr to transfer between my savings and checking).
There can be higher yield options for long-term savings (depending on market conditions at the time). The classical wisdom is to keep your money in CDs[1], but you're locking in an interest rate for <duration>, so if interest rates go up you could lose out.
If you're saving for more than a couple (1-3) of years you really should be looking at handing over some of your money to someone who profits when you profit (money market or brokerage). Remember that even at the current ~5% of CDs, the banks have ensured that they will be making a profit even during moderate market turmoil.
It's also not a bad idea to invest in something that is guaranteed to maintain value (such a gold or platinum), to hedge against recessions.