on our new 2015 denali Sierra I tried Costco, a dealer fleet and my local credit union buying service. The credit union buying service beat costco by about $500, (both went throught the same dealer) and responsed to my request much much quicker. Needless to say I went through the credit union.
But, like others have said, if you like to spend time and have the temperment to haggle, you can probably do better on your own. But IMHO the costco price is very competative.
I don't have the temperment, nor the desire,if the price is reasonable I pull the trigger, Took less than a hour of my time to give all three the vehicle specifics I wanted, decide who to go with. and less than another hour to pick up the deal, sign the paper work, get an extremely detailed walk through and drive home.