Loyalty programs aren't the only way to win customers' allegiance. Retailers like Costco (COST) and Amazon (AMZN) have achieved great customer loyalty through membership programs. Even though they carry an out-of-pocket cost, many shoppers happily pay the annual fees to access the variety of products, free shipping (in Amazon's case), and other perks and privileges offered by the two retailers. And for those who take advantage of all the available services included in a membership, the benefits can often outweigh the costs.