Depends on where you live, what Credit Unions are in your area, and what your motivation is for making the move. Credit Unions are usually co-operatives, so any profits are either re-invested or returned to the members as dividends. This is in stark contrast to the banks, where profit is a major motivation, and bank bosses and share-holders are the first in line for bonuses and dividends.
Check out your local Credit Union and find out what's on offer before you make the move. Make sure that your savings are guaranteed secure in the event of any financial failure. Ask for a breakdown of fees, then, if you like the answers you're getting, open an account.