When I resided in California, I had memberships to both. Tended to use Costco for the fresh and prepared foods and Sam's for 'hard goods'*. Costco's wine/beer/liquor selection was also superior to Sam's (I think the updated Okie law is due to be in effect in October). So, here in OKC at the moment, I'd have to go with Sam's for the fact of the multiple locations.
*(Your results may vary)
*(Your results may vary)