Some of this is going to be redundant --
Diapers
Wipes
Pull-ups
Formula
Meat -- all of their meat is so much cheaper, buy it then separate and freeze for later use
Milk (we only buy organic milk now, but when we used to buy regular milk it's cheaper at Sams)
I find the cereal isn't cheaper - but we usually buy the cheaper bag cereal brands (malt o meal I think).
Some of the frozen foods are a good deal - the eggo waffles are cheaper at Wal-mart than Sams though.
If you bake a lot -- flour (all purpose and bread flour) is super cheap - about $6 for a 25 lb bag -- you can put it in your freezer to store it until you use it. Rice and Pasta are VERY cheap at Sams. The instant yeast in the baking aisle is the cheapest I have EVER seen in my life!! Baking Soda and salt as well.
We are a chemical free home and use vinegar for all our cleaning needs - so vinegar is cheap there also.
We also do not to use a lot of disposable products, but I do buy the cheapest brand paper towels - we rarely use them, so one package last us an entire year or so.
The members mark toilet paper is cheap, we prefer it over the others w/ all their scents and dyes.
Bread is a good deal, I can get soda cheaper at Kroger or Albertsons, I haven't decided if the chips are a good deal - but we don't buy them there often b/c they will go stale b/4 we get through the bag.
One of our favorite things at Sams is the flat bread (about $2) for a generous bag of flatbread -- (and it has no preservatives and freezes great!).
We have 2 cats, so we buy cat litter and cat food there most of the time, sometimes they don't have the cat food we buy.
For your family, I recommend not buying large quantites of pershiable foods, since it seems there is only you and your dh eating. For my family, there are 6 of us - so I go to Sams pretty often.
Dvds, books, video games are usually a pretty good deal at Sams, as well as electronics. I almost always buy DVD's at Sams and save about $5 each time.
Batteries are also a good deal there, although I want to check out if they carry rechargable batteries - we go through AA's like water around here and I am so tired of the waste!
We dont' buy many frozen or convenience foods -- but when I go to Sams, I do buy a certain amt of those things for nights when I'm pressed for time to make dinner b/c it's cheaper (and probably healthier) than running to McDonalds. I'll occasinally buy the Red Baron French Bread pizza or Tyson Chicken Nuggets.
If you or dh have a tobacco habit, cigarettes and tobacco are cheaper there.
We don't buy many brand name toiletries, so to us, those are cheaper at Wal-mart (like store brand baby wash, store brand body wash, and the Suave kids shampoo and VO5).
I do buy vitamins (Dh takes mens, I take the prenatal vitamins for the extra iron) there - the members mark brand is really affordable. I dont' buy the kids vitamins there (those I buy at Sprouts or Whole foods - expensive, but worth it) though b/c I have yet to find one that they carry that doesn't have asparatame.
I also buy a decent amount of our office supplies from them (we run our home remodeling / cleaning business from home) and they've got good prices on those things.
When your dd gets older -- books and such are very competively priced at Sams! A while back they had American girl book sets for $20 LESS than everywhere else I looked!! They also have good prices on things like Hooked on Phonics, baby toys, and those cute books that come w/ an toy. If you need a gift for a Thomas the Train fan -- they have Thomas the train DVD's that come w/ a wooden train (that fit the wooden train tracks) for about $15! The trains alone usually cost that much!
And as a matter of fact, when there was a lead-paint recall on the trains, I got a letter from Sams about it b/c my purchase history showed I had bought one of the trains -- I thought that was great!
We use cleaning rags for most everything instead of paper towels - Sams has cleaning rags and microfiber towels (which work awesome!!) in their auto department for a great price!
Needless to say, we've found a lot of great deals there. I do have to make sure I walk in w/ a list so I don't get stuck buying things just b/c it's cheap, lol.
I do agree w/ one of the pp's though. For a time, we boycotted Sams and Walmart b/c we hate their policies and ethics really (Walmart is taking over and polluting the world!) -- I guess it was for a good 3 or 4 months. But then we started on our own business and our finances can be so sporadic, so I had to let our budget be our guide and start shopping there again. While I don't always think I am making the right moral judgement, I do have to feed my family of 6 - so I had to comprimise (we all comprimise on something!).
Sadly, I have become one of those who supports one of the very things I hate --- but if that means I can afford to feed my kiddos, then that's just the way it is. I'll save that battle for a later time :)