Going downtown from the airport requires a car or taxi. So you might as well rent the car at the airport.
As for Costco vs other rental firms it ends up which is cheaper. Costco will give you the price for any of the major rental firms so really all you may end up with is a savings on the rental rate. Though there are times when the rental firms wil have low rates on specials that will beat the Costco rate. So just shop all of the rental companies on your own may save a few dollars.
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