Dude, they're the SAME product, under different model numbers (with very minimal differences) mentioned below.
Don't take my word, do the quick comparison, yourself.
Go to Brother.com, and do a website search on the MFC-8670DN model...once it displays the webpage for this product, go to details...then click specifications. Copy and paste the specs in your word processing program for later use.
Next go to the other model, the MFC 8860DN and do the same thing.
Doing a side-by-side comparison, you will find that the two models are nearly identical in every specification. I found that the MFC 8670 DN has one slight difference, in an area that probably will mean nothing to either of us: the "Supported Network Protocols" for the MFC 8670DN that you bought at Costco appears to be better than the sister-model, the MFC 8860DN, offered at Office Max. In particular, the specifications published by Brother indicate that your Costco's MFC 8670DN model supports both IPv4 and IPv6 protocols. However the MFC 8860 DN model supports only the IPv4 protocol, but not the IPv6 protocol. I figure more is better, so the model we both bought at Costco is really the same product, but with more "network protocols."
Other than that, I couldn't really find any differences between the two. Brother probably held back our model from stores, the MFC 8860DN, allowing it to be purchased online only. That way, even though it was virtually the same product as the MFC-8860 DN, they could market the two as different machines, for different prices. My guess is that at the end of the year, in late December, 2008, they wanted to dump the product in a store and used Costco as a clearing house. Now, Office Max carries the other product, at a higher price. So as not to offend anyone, the customer is confused by the model number, and thinks it is buying a different product at Costco for a lot less money. But they're really the same thing, just less costly.
Hope this helped clear things up. Good luck with your MFC 8670DN. I have used a similar Brother All-In-One, the DCP 8040 for three years--it is awesome, primarily because of the fast scan speeds.