Oil changes at the dealership?

If its free than its fine... That's what dealerships are best used for. But if you expect anything more than freebies, warranty repair and recall work from Toyota Stealership than you're an unwittingly about to watch your bank go down significantly by way of all their various scams. As in they use the oil change to sell you stuff you don't need.

 

Dealership should be fine, but check the oil level before you leave

 

I buy synthetic oil on sale from Costco, Walmart, Meijer etc. The dealer gives me a good discount to use it.

 

That's a good deal IMO.
The only mechanical risk is the torque of the oil filter canister, damage to the undercarriage fairing, or jacking points I suppose.
If a Toyota dealer, I would assume the correct Toyota oil filter is used and a correct viscosity synthetic oil.
Brand of oil may not truly be a risk.
Of course, once your car is in the shop, dealer service departments can recommend additional services, such as brakes, coolant flushes etc.
If you are on warranty, again seems like a good deal.
If off warranty and the engine fails because of an engine oil-related issue, that's another risk.
Good luck with your decision.