Hey DrJ,
Actually, you might do yourself a favor by keeping your membership open. I've been a member of BMG (and Columbia House) for over 2 years. In that time, I've purchased over 200 CDs from them and have kept a running list of them, along w/ their costs, which allows me to keep track of my average cost paid for CDs. Since joining, it has been between the $5-$6 range. How can you beat that?! You can't...even buying used, you wouldn't usually be able to get the prices that low. Membership in these clubs DEFINITELY has its benefits. However, to get your average price this low, you should only buy a CD at full price when they're offering one of their "Buy 1, Get 3 Free" sales. Otherwise, wait until they have their "60% off with No Shipping" sales. They run both of these sales on a very regular basis, 3 to 4 times a year at least, and they usually last for a couple of weeks. The important thing is to look at the bottom line. When they say "free", ofcourse they're not free - you still have to pay a shipping charge of $2.79 per CD. But just look at the bottom line to see what you're really saving.
Also, don't forget to take advantage of their Outlet Store. I've gotten some ridiculously good deals here over the years, especially from Columbia House. Verve Master Editions, RVG's, double CDs for around $7 a piece...loads of good stuff.
Also, check their box sets. My best deals have been the Miles '65-68 Quintet' box set for around $38 (from BMG) and, most recently, the Miles 'Complete Plugged Nickel' box for $33 (from Columbia House).
Keep your membership open - don't cancel. You can always "sign up a friend" (IE: yourself). That way you'll get 5 for yourself plus the 12 for 1 deal for your "friend" (IE: yourself). Your "friend" can cancel after getting his free stuff and buying one at full price.
The deals are there to be had...