We get terrible phone signal at ours so it can be tricky to check against supermarket prices. Some stuff isn't particularly cheaper but is worth getting in bulk or we like the Kirkland (Costco own brand) version for.
Things we usually get:
5 pack of cushelle toilet roll (5x packs of 9 rolls) for about £20 so a bit cheaper than Tesco
Kirkland kitchen roll (think it's 12 massive rolls per pack)
Chilli coated peanuts (warning heavily addictive)
Large "ready meal" like a pizza or carbonara for tea that night (can also be frozen in most cases)
Laundry and dishwasher tablets
Kirkland bin bags (massive and have never split!)
Muffins (not always easy to spot - the price of £6.50ish is actually for two trays - you can mix and match flavours and they freeze brilliantly)
Non food like books / clothes etc. we end up with more of this than groceries!
Diet Coke cans.
There are so many good bits it's easy to get carried away. For things you might usually get in Tesco make sure you have a good idea what the cost might be and make sure you have space to store it all - our freezer is tiny and every time we go we malign not having a chest freezer in the garage! Enjoy - I don't blame you for being excited, I flippin love a Costco trip!