When I move to NOLA, I kept up my Costco membership so I could use Costco online. The money I've saved on just prescriptions and organic coffee is totally worth it. Also, almost anytime there has been an identical item on costco.com and amazon, I've found it to be less money at the costco site - not as much variety on costco.com, though. We're getting a warehouse summer of 2013 and I'm so psyched!
I agree with finding a friend to split the membership. My ex and I each pay for the membership (because it doesn't cost more for a family of two) every other year even though we live 2000 miles apart now.
"Right is right, even if no one is doing it; wrong is wrong, even if everyone is doing it." - St. Augustine