Hi Chris ... and welcome
You've asked some great questions ... especially about finding value ... so I hope you don't mind if my reply is a little lengthy.
First about Costco/Sams Club/Walmart type of outlets. In general, I wouldn't look at most of the mattresses they carry (particularly the "S" brands which as you know I don't believe have real value) however they do have some mattresses which have great value such as a few that I've linked in other posts. The reason I like them ... especially in the lower price range ... is that they are "no risk" because of their return policy and these few use good quality materials for the prices that they charge (have good value). If you have done some field testing and know the specifics of a mattress construction that is suitable, then a mattress from an online store like these is far less of a risk because you already know what a mattress that is made almost exactly the same way feels like and if you are completely wrong, then you are only out some time if you end up returning it. They also on occasion have higher quality mattresses available with good value and if someone was not able to find a high value manufacturer near them and did not want to order a mattress sight unseen and risk return charges, then these would be a risk free way to purchase a mattress that would not cost you anything to return. My preference in the case of a higher cost mattress would be to do some field testing and then order from an online factory direct outlet such as some of our members as I believe they have greater value yet and offer more flexibility and better advice however they would normally have some charges involved in making an exchange while Costco etc doesn't.
Some of our members specialize in online purchases an ship across the country and if your field testing gives you a clear idea of the specific construction that works for your needs, then it is a simple matter to duplicate the construction that "works" using the same or very similar materials. Some of these online members also have great return policies if you "get it wrong" and if you are only a "little bit off" they also offer "layer exchanges" to fine tune your mattress to your preferences without having to exchange the whole mattress.
In general terms, there are really two broad parts to finding your perfect mattress ...
The first of these is finding the best construction for your needs (which is the first 3 of the "5 steps to your perfect mattress" outlined on this site. This can be done using the information on this site and doing field testing at any store that will tell you what is in every layer of the mattress that works best for you. Once you know the makeup of these layers, then it is easy to duplicate that specific construction with a reasonable certainty that it will feel the same as the one you field tested.
The biggest advantage of doing field testing at local manufacturers is that almost all of them will tell you exactly what is in their mattress. This gives you the chance to do comparison shopping both at local outlets and through online merchants. Not every local manufacturer of course offers great value however as a group the value there is better than other "categories" of outlets and they are great places for field testing. Other stores that will tell you exactly what is in their mattresses (show you cutaways with each layer and describe each layer) are also good places for field testing.
For example if you go here
www.paramountmatt.com/comfortline_coolmax.htm
You will see a mattress that has what looks like some polyfoam and some latex over an innerspring and a very general description of this mattress. If you were to phone them or go there, they would (or at least should) give you much more specific information about the density, thickness, and ILD of all the layers and even compare their polyfoam layers to the polyfoam layers of major manufacturers. You would likely find that the polyfoam they use is higher quality (HD or HR polyfoam) than the major manufacturers which means it would last longer and would probably cost less ... and possibly substantially less ... than a major manufacturer using the same or almost the same materials. They would (or should) also give you more specific information about the latex they use and how thick the layer is. If for some reason their "equivalent" mattress was the same price as an almost identical mattress made by a major manufacturer, then they would still be good for field testing to find out what construction works for you but I would not buy from them.
If you go here
www.roomandboard.com/rnb/product/detail.do?productGroup=19517&catalog=room&category=rm_bedrooms&subcategory=mattress
You would see some all latex mattresses that contain about 9" of latex and then have a natural cotton and wool quilting/ticking and that are about $1999 or slightly more if it is customized to have individual left an right sides. If for example you were to go there and found that they used a 36ILD core and that their soft latex was 22 ILD (and you knew the type of latex they were using either Talalay or Dunlop which they would certainly tell you) then you coul duplicate this at any mattress manufacturer and have a mattress that was close to identical. This way you could make a few calls and see if their specific mattress was the best value available to you. If you look at all latex mattresses by a major manufacturer (or even "mostly latex") you will find that they will almost always be substantially more than this.
If for example you compare this with the Sealy Embody mattress sold at US-Mattress here
www.us-mattress.com/sealy-shelter.html
... you will find the embody only has 6.5" of latex (almost certainly lower quality latex) over a 5.75" "engineered core" (this means polyfoam which is much much cheaper than latex) and yet this much inferior mattress sells for about $3000 "on sale".
You could also compare this to any other "mostly latex" or "half latex" mattresses made by a major manufacturer such as the Dr Breus signature elite (the top of the line) here
www.sleepys.com/en/Dr.-Breus-Signature-Elite-Firm-Eurotop-Mattress-Plus-Free-50-inch-TV_38542/
and even though it is nowhere near all latex, it still costs much more.
If you look at Custom Comfort here
customcomfortmattress.com/latex-3
you will see a two sided all latex mattress with 10" of latex and quilted on both sides in the same price range as the "major" manufacturers I mentioned but for a much superior mattress. Custom comfort has a good reputation for quality in the industry even though they are a little more than many local manufacturers. They would also be a good place to find the specific construction that works for you.
If you go here
www.comfortpedicmattress.com/knottingham/index.php
you will see that they are using high quality materials even though they don't have their prices. They too would likely be happy to help you find the best construction for your mattress and I suspect would cost much less than an "equivalent" mattress from a major manufacturer.
Flexus comfort too would almost certainly be "materials oriented" and help you find the best construction for your needs and would likely cost less than a major manufacturer.
The second main part of the search is making final decisions on materials that otherwise seem "equal" based on durability and then looking for the best value for the specific construction you have chosen. This final step of looking for the best value could be buying from one of the places you did your field testing or it could be buying from an online outlet. In almost all cases ... you will find that a local factory direct outlet will be much greater value than a major manufacturer. While I haven't talked with every local manufacturer of course ... this is certainly the case with most of them and with certainly with The Mattress Underground manufacturer membership which is part of the reason I invited them to become members here.
So to answer your specific question in a shorter version ...
Are these local places really about better quality and value and not less expensive?
In almost all cases where the same or almost the same materials are compared ... yes.
As far as latex vs memory foam ... As you may suspect I personally prefer latex as it has far less of the "negatives" of memory foam however there are many people who also prefer memory foam. Some of these may be consumers who have never really compared memory foam to other alternatives and are just happy with "a new mattress". If you are seriously thinking about memory foam I would certainly include it in your field testing and compare it to about 3" of soft latex in a comfort layer (14-24 ILD) and see how it feels to you. I would also read the article here
www.themattressunderground.com/our-articles/memory-foam-pros-and-cons.html
so that you are aware "going in" about the main advantages and disadvantages of memory foam in general.
Hope this helps a bit and thanks for the great questions and comments. If you have more ... feel free to post them.
Phoenix