In order to meet their contracts with the cruise lines (at least with Celebrity and Royal Caribbean--and I think with others), travel agents (including Costco) can't offer a fare that is any different from the one the cruise line offers. They can, however, offer "incentives" the cruise lines do not; incentives include such things as pre-paid grat., a drink package, dinner for 2 at a specialty restaurant, 1 or 2 spa treatments, on-board cash, etc. Therefore, when comparing prices, you are actually comparing only the incentives you are being offered.
Travel Agents can have substantially different prices from the lines' prices if the agencies have pre-booked cabins with a small deposit and held them until the cruise lines have raised prices. In those cases, the actual cost of the cabin can vary from agent to agent, and price comparing becomes more difficult. I've found CruCon.com often has the lowest total price--but not always, and I've booked with a variety of travel agents because of significant differences in prices.