For me, locally, there's a grocery store chain that also has gas stations. If you are a member (which is free), you get a discounted rate on gas - usually only 3-5 cents more per gallon than Costco. And if you do enough groceries in a 3 month period, you occasionally get an additional 10-20 cents off your next filling, which makes it cheaper than Costco.
They're also open a lot more hours than Costco gas. And their lines are shorter.
I don't see the point of going to Costco to get gas.