My parents bought both of their current cars through the costco program. On one, the dealer did not want to give them the Costco discount (it was $1000 off the normal price), as it was already priced $1000 off the normal MSRP, but relented when they insisted. The other car was negotiated "hard" and then they told him they wanted the Costco price, which the dealer said was a grand less then their already negotiated price. They would absolutely do it again with Costco.
Unless, of course, you can get some special deal like CKN did.