In my time I've had memberships to super huge warehouse stores. Costco is something of the archetype for this, but there are other similar places where one gets "great deals" by buying in larger quantities.
I always find, after the initial glut of buying lots of things for relatively less money, that I'm overall spending more than I would shopping at neighborhood stores – even non-chain ones – and ending up with things I don't really need or more than I can use.
What's even sillier about it is that I wind up buying not quite what I wanted – different brands, other flavors, higher calories – because the selection is more limited.
Take a good hard look at your shopping habits and the kind of eating habits they're leading to. Try taking a month off from the big box stores. Shop locally, get more fresh fruit & vegetables, pick out ingredients to cook with or make a sandwich for tomorrow's lunch instead of a frozen entree. Visit the farmers' market and find the nearest good bakery to your house.
At the end of the month see how you feel, what you're eating and what you've spent. Chances are pretty good that the delicious organic produce that's giving you loads more energy has been easily paid for by not having bought a boxed set of DVDs for a show you liked when you were 12, a five-attachment cordless drill, and a pair of ill-fitting orange sneakers with totally cool treads.