Some things are cheaper than supermarkets, for us Lavazza coffee, cat food and litter, toilet rolls (Costco own brand really good and far cheaper than Andrex etc), part bake ciabattas,mouth wash off the top of my head. Also deicer and some other car bits. Books can be cheap but limited range and they do some merino wool socks that I really like for winter. They also do special offers that work out even cheaper in some cases - we get the bin bags and dishwasher tablets and they last for ever.
You can get decent quality sliced meats for less than the supermarket. Some alcohol offers are good. I think cans of drink are cheapish, but we don't buy those so not sure.
Meat and fish OKish price, but quality good.
You can probably shop for less in supermarkets if you stick to Lidl/Aldi/Farm Foods and special offers in mainstream supermarkets, otherwise, it's mostly decent value for good quality rather than cheapest possible.
And yes, there is a risk of buying things you don't really need. The cakes and pastries get mentioned a lot and I can imagine people going through them quickly if they have them so not saving, but I think they are awful quality so never buy them. Look at the ingredients before buying.