I don't have Costco, but do have Sams in my route home. As a Sam's member, I can fill up, often about a nickle cheaper than across the road at the convinience store.
WalMart also offers 3 cent discount/gallon if you use a WM gift card to fill up - since their gas stations are in front of their stores, it's not hard, albeit inconvenient to go in, add money to a card, and use it to fill up. I try to remember to do so when I'm already there shopping, but admit to doing it very seldom.
Dillions also has a gas station, and they offer 3 cents off with a receipt.
I'm sure there are others - do you use them - or are they inconvenient?