It kind of depends on your area too. I've had memberships to all in several areas.
One area, the Costco was a dump, parking lot too small and the selection weak.
Another area Sam's was amazing, another.. eh.. "okay"
There are 2 Bj's locations where we live now - one is horrible. Dirty, sloppy, always busy but the other is a dream to shop in - clean, great selection, prices, lines are shorter.
Quick observation about the 3...
Sam's club - you can get a free one day pass in a Walmart circular sometimes. It's nice because you can see for yourself without having to join.
BJ's will give you a free day membership for the asking. I've used this a few times when we'd be light on money and I didn't want to spring for the membership. BJ's is very open to getting people in their door and it shows. I really like that.
Costco is very elitist - no free passes no matter what. Period. That's the policy - don't like it? Too bad, go somewhere else. You CAN just walk around but you can't buy anything and get the full buying experience. That kind of put us off a little bit.
Over the years we have had several years worth of membership to each of the clubs. Costco is stronger in foods. The rest kind of depends on the brands you prefer - each club has something to offer. Best to set aside some time and just walk around the clubs and pretend you are shopping for the entire season and see how each fills your own personal needs.