I've worked for a dealership, and most of the time, you get good deals through Costco- but it can't be a high demand car (it can be a popular car, but not high demand- i.e. Civics would be eligible, but not Civic Hybrids).
I can say that it can be hard to haggle to the point of Costco prices in some cases... but the dealer will try to make up for it by forcing options and crap during the sale or financing. For ppl not good at haggling, Costco *can* be a decent deal, as long as you can say no to the options that dealers to get you to buy.