I now live in an area where we only have Costco (no Sam's) but a long time ago when I did have a choice between the two stores, I preferred Costco. I can't give you an up-to-date comparison but I can say that I truly love Costco. The Costco return policy is amazing and generous, and pretty much no questions asked. I've returned everything you could imagine without hassle: leather couches, blenders, clothing, opened but yucky spices, produce that wasn't up to par. My local Costco also has an expansive selection of organic foods, both fresh, canned/packaged, and frozen. Buying organic at Costco has been a huge money saver for us (it helps that I'm a Food Nazi and never let anything go to waste, but that's a story for another day...).
Lisa