I'm glad you just mentioned Costco - because while I was looking up information about Wal-Mart's margin per store or profit per employee, I found an
article about why the often-made comparison to Costco for Wal-Mart is a ridiculous one.
Their business models are completely different. Costco is mostly a grocer, whereas Wal-Mart is mostly a dept store.
Grocers have notoriously thin profit margins, thinner than retailers like Wal-Mart and Target and other big-box stores.
Costcos are typically located in more affluent areas or suburbs - whereas Wal-Marts are everywhere, with concentrations on rural small towns.
Costco doesn't have to pay stockers to unload, sort, arrange, maintain, display, etc. product. Product comes off the truck, and is piled onto the floor still palleted. Wal-Mart requires more employees per sq footage.
Costco also has another major difference - they charge membership fees.
All of this means that although Costco pays their employees more than Wal-Mart does, they also manage to make MORE money per employee than Wal-Mart.