The only reason I don't go there as often is that HD is located in more areas. If I'm in an area working that has a Menard's, I'll go there, because it's usually cheaper.
They don't always have the same selection, but if they have it, it will almost ALWAYS be cheaper, and sometimes they have stuff that HD simply won't carry, like the MDF-cored Birch I spoke of.
Some examples: Retaining wall blocks Home Depot = $1.59. Menards = $1.14 3/4" 4x8 MDF sheet Home Depot = $23 Menards = $21 Plexi sheet (forget the size I had to buy) Home Depot = ~$70 Menards = $26
If you require supplies, Menards is worth the trip. If you require TOOLS, go to HD or Lowes. Menards can only equal their prices, and their tool selection is vastly inferior to HD or Lowes (not as many brands, smaller selection, more "off" brands)