Yeah, Costco has its own gas pumps, as we've explained earlier, and in an entire article dedicated to it. Their gas is usually the cheapest, undercutting BJ's, regular gas stations, and most other outlets. Plus, Costco has a lot of stores, numbering more than 815 locations. Therefore, you're most likely to stumble upon a Costco in your commute than a BJ's. However, their memberships are pricier.