We did the Costco deed in March of this year on our Forester X. We just did the online info at Costco and the dealer emailed us to setup a time to do the test drive. Once we decided to buy the car they just copied our membership card, we got like $1800 off the sticker of the car. The price was better than when I tried to deal with them on my own, they only wanted to give me a $500 discount off the price. We only have one dealer in about 250 mile radius so they did not want to budge on the price.
I will have to say that we have grown to love our fozzy in the short time we have had it and wish I could find a used one to replace my little SUV.
All vehicles come from dealers. That's the agreement they have with the manufacturers.
COSTCO, along with a host of other 'car buying programs', some of which charge a fee, like brokers, have agreements with certain dealers to get vehicles at no haggle low prices. There are no magic discounts, but for many people it makes shopping a lot easier.
You don't even need to go through Costco to get the Costco price. Just tell the dealer that you want the Costco discount. I did this at Carr Subaru in PDX and they switched me to their "internet sales dept" and knocked like $3k off the price.
2010 FXT Limited with 6 yr extended warranty for $28k. I ended up passing and getting a 2004 FXT. I think I'm happier than I would have been.