When costco went to Nitrogen I started obsessing about filling my tires with Nitrogen only... as long as it's no cost to me. I do feel like it has reduced the number of times I have to add [-]air[/-] Nitrogen to my tires, and perhaps more importantly I find the tires more consistent in pressure when I do add, but it's a pretty marginal advantage.
Here's my take: When you fill your tires with normal air, which is about 20% oxygen and 80% nitrogen, over time the oxygen will tend to seep out of the tires more quickly than the nitrogen, so over time your tires end up being say 95% nitrogen a few months after they are installed.
If you then add normal air to top up one of the tires that is say 10psi lower than the others, 20% of the added air contains oxygen which will seep out over time, so that tire will eventually lose most of that oxygen, reducing its pressure by 2psi even if it hasn't leaked, requiring another top up.
If instead you had added 10psi of Nitrogen, then you won't have to do that later 2psi topup.
I suppose this example doesn't make it sound like much of a difference, but it would come into play in a big way if say one of your tires gets repaired and filled with normal air while the others are filled with Nitrogen. In that case the air filled tire would drop 20% of the 40psi tire pressure, or 8psi, over time which would require at least a few top ups that wouldn't have been otherwise needed.
And if you measure your air pressure with hot tires (sometimes unavoidable), the different expansion properties of nitrogen and air will tend to distort the readings when one tire has more oxygen than the others. I'm not sure whether this is a practical issue but it's theoretically sound.
So the takeaway for me is that it's best to stick with one or the other, but not worth the hassle to go out of my way to do so. If it's convenient for me to do a Costco run when my tires gets low, I'll do so, and if not I'll just fill it up wherever is convenient.
In retrospect, It's pretty clear to me that this is exactly the reason that Costco went to Nitrogen, to motivate people to go into their store as much as possible. Also since Costco is so good about honoring their tire warranties, they could save money by avoiding the small percentage of repairs avoided by the marginally better air pressure that nitrogen delivers.