A lot of the regular grocery items tend to be not much different from the local grocery stores. You often have to look for the bulk items that aren't available in large quantities at your local grocery store.
Import cheeses tend to be less per pound at Costco. You just have to want that 2 pound block of Dubliner Cheese for $15 compared to a 4 oz block for $5 at the local supermarket. We often buy the 2 pack of mozzarella
Milk tends to be comparable in price.
Cereal can be a bargain in the large size but you can often find it on sale for less per oz in supermarkets.
Fruits are often better quality than supermarkets but can be more expensive.
Last time I went, peaches at Costco were $1.99 per pound but supermarket had them at $1.29. Plus you had to get 5 lbs at Costco.
We buy the packs of Romaine lettuce. It keeps fairly well and is cheaper than supermarkets.
It looks like Costco lists a lot of their food items on their website. I have no idea how the website compares to in store pricing when it comes to grocery items.
Costco Grocery Items