No experience with REI, but from what I gather (and those who have dealt with can chime in):



-Warranty- is the same for members and non-members. It's their "100% Satisfaction Guarantee" program. Main difference is that non-members have to show a receipt when returning; members don't.
-Didn't see anywhere that prices vary by location or that the store wouldn't match the website- unlike Wal-Mart.
-You don't need a membership to buy from them. Membership does offer up a few perks, like 10% of eligible purchases back annually. So if you signed up for membership at the time of buying the bike- and didn't buy anything else- the cost of your membership would be free, and maybe a little bit left over would come to you. But you'll be in the market for locks, lights, tubes, tools,...