I went through Costco and it beat the best deal I could negotiate by about $1800 on a +/- 40K Ram truck. And by "negotiate" I did the whole sit in the cubicle, leave once and wait for the call back and all the other BS that goes along with buying. I had actually forgotten about the Costco program and it turned out the dealer I was in the cubicle at was the Costco dealer for my area. Kind of an embarrassing moment for them when I came in and bought the EXACT same truck from them for $1800 less than the price they let me walk away from.
From my reading on the net it seems there is a lot of variation in pricing and Costco experiences. The bottom line is if you don't want to screw around and spend hours of your life you'll do reasonably well.... maybe even great. Everyone on the internet seems to have a story about how they beat the Costco price by $2000 but keep in mind, it's the internet.