I'm a Total Wine and Costco devotee, I love both places, if you don't mind buying Kirkland brand alcohol, Costco wins in price, hands down.
I love Total Wine's selection and they sell rare cordials in 350 ml, but they're not cheap. They're actually pricey, if not on sale.
For example, I saw Cointreau, 750ml for $40, and down the street at Lee's Liquor, Cointreau, 750 ml was $34. But Total Wine sells the 350ml for $20.
Of course, Costco's selection is so limited, but if you need a specific alcohol, I might know the price.