On the MSN homepage there's an article about what to buy in bulk. They forgot one of the best ways to save money! Buy ammo in bulk. I honestly can't remember the last time I stopped by Wal-Mart or the gun store and bought a box or two of ammo off the shelf.
Some of their other recommendations are excellent. Tuna? I eat tons of it. Beer? If their selection is good perhaps Costco is where I should go from now on.
It's a shame Costco, BJ's etc. don't have a section where you can buy ammo by the case at wholesale prices.