I am lucky enough to live within 20 minutes of two different Costco stores, and since my son seems to have a black hole where his stomach should be that helps me out in the food department. But what about the bath and beauty department? This isn't going to be a cut and dry answer, a lot will depend on the number of people using the item or what you personally like. What works for me won't necessarily work for you.
Shampoo, conditioner, and soaps are always going to be a yes in my book if they happen to have something I like. Generally the bigger sizes are more cost effective and you'll have to go shopping for them less often. I have very long hair (past the middle of my back so far, going for butt length to win a bet) so I go through a regular sized bottle of shampoo and conditioner at LEAST every other month. These types of products have a much longer shelf life than say toothpaste, so I give these a big thumbs up for buying in bulk and storing.
Lotions can be cheaper in the bulk, but are you really going to go through a whole gallon of lotion before it gets all funky? I say only get lotion if you know you can get through it within a year at the longest. If your whole family will use it then go for it, but if you are a once a week sort of lotion user just say no.
Deodorant is something I ONLY buy at Costco, they offer a 5 pack for the price of buying 3 sticks at my local Albertson's and every few months they have a coupon for them. I like the Dove brand in the cool cucumber and since I teach Taekwondo in the evenings I tend to go through more deodorant than your average person. If you aren't sure if you'll use them all up by the expiration date find someone to split the pack (and cost) with you, win win for everybody!
Makeup is something I approach on a per item basis. I generally don't buy makeup from Costco since they seem to mainly carry the Kirkland brand makeup, which I'm super not interested in. I will get lip balm in the big packs because I use it a lot and I tend to lose them. Mascara I will buy if it's a brand I like because you should be replacing your mascara every 3 or so months.
Makeup remover is something I always buy there as well, I really like the Kirkland brand makeup removal wipes. Giant box with 6 full sized (30 wipes) pouches and 2 travel (15 wipes) pouches for a really great price. But if you prefer Neutrogena they also had their wipes last time I checked.
When shopping in bulk make sure you know you will use it up before it expires and that it is actually cost effective. And make sure you have room for it or you will end up with packs of makeup removal wipes all over your dresser (oops). What do you like to buy in bulk?