The History Channel has an excellent program on Costco, Sam's Club, and Walmart.

Short version, Sol Price started Price Club in southern California.  Walton copied and started Sam's Club.   After a few years Sol Price's right hand man Jim Senegal left and went to Washington state and started Costco.   After a few more years Sam Walton tried to buy out Price and Price Club.   Price went to Senegal and they merged Price Club and Costco to form one company.