I don't have a CostCo around here, so I can't comment on their print quality, but I've tried a wide range of labs and so far no one has impressed me as much as WHCC. FWIW, I don't let any photo lab color correct my images, but I'm a control freak and I'd rather be the one who determines what looks best. WHCC does free paper samples and test prints when you first sign up so you can check your calibration against their prints (again, assuming you control the color correction). Free UPS shipping. You even get a Tootsie Pop with your order (though you can't pick the flavor, I got green apple yesterday. Blech.) or a Blow Pop on occasion. I know, I sound like a paid advertiser, but I've strayed from WHCC when I had to have same day printing, and I regretted it. They use Kodak paper though, so if it's an issue of the paper, that may not persuade you. I prefer the Kodak over the Fuji myself, but I also prefer metallic over lustre, so my opinion can't be trusted lol. Honestly, my issue with big box store printers is that while you may get a few good batches, you're always running the risk that you're going to get a batch done by someone who doesn't know what they're doing or that they won't stay up on their machine maintenance, etc.
Personally, I don't think the pricing difference between a big box printer like Costco (15c 4x6?) and WHCC (.60-70c 4x6) is enough to really be an issue, but WHCC does do proofing runs for 25c 4x6. I can't comment on the exact comparison between Mpix and others because I don't use Mpix anymore, but overall I would just rather not gamble with my customers prints and big box store printing. Maybe I'm a schmuck for buying into it, but I just feel like WHCC cares more about the quality of my prints overall. *shrug*