Sam's Club, BJ's, Costco... no matter which big box bulkie store you shop at, they're all going to offer (typically) a better value than purchasing one, smaller item at your local grocery shop.
But don't be swayed by the better value and savings. Sometimes buying too much of something, and then having it go bad, is a real waste of your money. Here are some things that I think are worth buying in bulk:
Chocolate/chocolate chips- if you keep chocolate in a cool, dark place then it should be fine. Don't be freaked out by the grayish cast it takes (aka the bloom). This is typically caused from temperature fluctuations and should have no effect on flavor. When it is melted, or baked with, it will look shiny and dark again.
Sugar- granulated and confectioners keep really well in a cool, dark cabinet or pantry. Brown sugar can sometimes get hard but if you try putting a piece of bread in it, it will reconstitute the texture (my mom also used dried fruit, like prunes, to keep the brown sugar from hardening).
Some dairy- I'll buy big packs of cheese and butter because it can freeze. If you do a lot of baking (especially around the holiday's) this is a real life-saver. If you have a large family then get the eggs and milk- otherwise it may be too large a quantity for a smaller family to use up.
Nuts- just keep them in the freezer to avoid them going rancid.
Mixes- cake/brownie/muffin: even though I'm an advocate for homemade, I can't deny the allure of the one-bowl-dump-it-in-a-pan-and-you're-done. If it's a flavor that you love, and know you'll use, then by all means stock up.
Oils- I can tell you from personal experience that once oil has gone off it has to be thrown away (I thought I could overcome this with lots of extra flavorings in a recipe- in the end I just wasted more ingredients because it was all bad from the oil). Unless you're a restaurant frying up tortilla chips every day, buy smaller sizes from your local grocery store.
Spices- I don't buy spices because I'll never finish a huge batch of, say nutmeg. Spices are better if you purchase them in smaller batches to maintain their flavor.
Can's of sweetened condensed milk/evaporated milk- because they are milk products their shelf life is much shorter than other canned items, such as canned fruit and vegetables. Unless you plan on using 6-8 cans of sweetened condensed milk within a year, just by a couple at your regular store.
Flour- like oil, it can also go rancid (or get those gross meal worms). I prefer to buy smaller bags.
Baking powder/soda- unless you're getting a package of lot's of little ones then I wouldn't buy this because they need to be replaced every few months, otherwise your baked goods may not rise properly.
* Do you buy in bulk? Have you ever bought too much of something and had it go bad?