Reminds me of a story a friend who works at EB Games (some campany as gamestop in america). Every week or 2 a lady would come in and exchange a game she purchased for her kids for another one, usually just falling inside the exchange period. Essentially she was using EB as a free game rental store. Eventually they cut her off but not before she had well and truly gotten value for money on whatever she had originally paid.
No, it's unethical and cheap.
If too many people do this, then the policy will change, and ruin it for everyone else.
You pay an annual membership so that costco can locate their businesses in cheap areas zoned for wholesale/warehouse outfits, not regular retail, saving them a ton of money. They have to charge you a membership fee - it's members only shopping.