Yeah, I had the same experience in my area. It's so strange to see so many people (online, and locally) strongly assert that Costco has the cheapest price on many goods. It's a strangely pervasive notion. We thought that we must be missing something!
Sure, some specific items are always cheap -- like the rotisserie chicken. But outside of those few things, you really have to look for actual savings, and that's true even of baby products which so many in our area seem to get at Costco. In many cases, we would be buying something in bulk for more money than at Winco or Kroger.
Shopping there is also rather disorienting... many times an item we bought one week would be gone the next. Or items would unpredictably shift locations.
As some commenters have identified, there may be specific items you want that are in fact cheaper at Costco. And I only have personal experience from my area, which is not a big city and has cheaper local grocery prices than a more urban area. My main point is: if you've been shopping at Costco assuming you are getting a good deal, you might want to double check against other stores!