I don't live up there anymore, but assuming you're in a larger metro area, there should be a
Beverages & More. Between that and Costco, you need nothing else.
Costco is by far and away the cheapest place for the big bottles of mainsteam liquor, beer, and wine. they have staple brands but every time I went there it seems like there was a new liquor/liqueur in a huge bottle I had never seen before. I have never been to a Sam's Club but I assume it's similar.
Beverages and more has the best prices on specialty iteams including high end scotch, cognac, and tequila. Also, the BevMo sale prices sometimes are better than costco. Plus Bevmo will price match any of the Costco prices, but you have to ask a manager and not one of the regular workers. Also, if you go in on a Saturday, they have free wine/beer tastings as well as fairly knowledgable workers.
All that being said, it is of great importance that you check the Rite Aid, Safeway, and Albertson's ads weekly. They can not compete with Costco and BevMo's regaulr prices, but they sometimes have absolute steals on their sale items. The $11.99 Bottle of DiSaranno Amaretto and $12.99 handle of Smirnoff stand out as some of the insane prices Rite-Aid had when I was in school (2000-2004).