A large, warehouse type store such as Sam's Club, or Costco, that contains products cheaper than in any grocery store or department store. Also the point of holding a membership here is that you receive more than you need for a cheaper price. BJ'S also awkwardly has the slang name of oral sex known as a Blow Job, or a BJ. Making you wonder if you're really a pervert every time you say you're going to go to BJ'S.
Wife: Hunny we're out of peanut butter. Would you like to run to BJ'S and get 4 giant tubs of peanut butter for the price of one container you would get at the normal grocery store?
Husband: As long as you give me a BJ when i come back!