I've been an REI member for ~15 years. They are almost never the low price on any given item, in fact they tend to price higher than most other places. The exception to this is REI-branded items, which tend to be less expensive and marked down because they don't sell as well as fancier items. Years ago I bought REI CF hiking poles and a camping-weight TR-type sleeping pad because they were good deals, with 20% off and using some "free" money accrued in my dividend.

The annual 20% off deal is nice, but since state taxes and shipping eat away my real discount to ~5%, they're usually still more expensive than alternate sources, so I rarely buy from them anymore.

The only time REI is a good deal for me is when I use their credit card, which gives you a small kickback (0.5-1% IIRC) that adds up over the year to perhaps $50-100 if I use the card for all CC purchases throughout the year. In this case it's an OK deal since you get something for "free", although I have opted a few years to buy nothing and wait for the cash back in form of a check issued around July 1.