I have Costco and BJ's, because one of our homes doesn't have a Costco anywhere nearby. And I've had a Sam's Club membership in the past.
I prefer Costco. I feel like their food (especially meat) quality is a bit better, and their gas prices are better too.. But BJ's is pretty good. I don't like Sam's much at all. It's ok, but just didn't do much for us, especially with having the other two places to choose from. Sort of Walmart quality food, and less healthy choices.
I would recommend getting a one month membership, which BJ's usually offers. Try the things you usually buy, and see how they compare according to your tastes. I see no real reason to have both memberships, unless you have a two (or more) home situation like we do. Plus my DD shares our Costco membership since she lives near one, and her shopping helps build up cash back which pretty much pays for the membership.