CCO stands for Cosmetics Company Outlet. (It is also sometimes called the Cosmetics Company Store.) These stores can be found at outlet malls and carry Estee Lauder brands. Besides Estee Lauder, you will find MAC, Bobbi Brown, Clinique and Origins. I have also heard that Stila can be found here but I have not seen any Stila products at my local CCO. There is no official website for this store, at least not that I could find. I don't believe they advertise at all actually. I found out about it because I knew someone who went there.
All of the products are sold at discounted prices, usually around 30% off. The products they have are likely to be discontinued or limited edition items. This means that the makeup you are getting could be a year old already, but personally this doesn't bother me. It is all brand new and still in the original packaging. Sometimes you will even find current products sold here. They supposedly get shipments in once a month, usually at the end of the month and the new product should be out within the first several days of the next month.
This is also a great place to buy perfumes. I was able to purchase Coach Poppy at a discounted price here. They also carry Michael Kors Very Hollywood, Island Bermuda and several others of his. They of course had the Estee Lauder brand perfumes. I don't recall seeing them but I would be willing to bet that they have the Clinique Happy perfumes as well.
The last time I went to my local CCO, I purchased several MAC products. I bought the Truth & Light Liquid Powder from the Venomous Villains collection (that powder is now part of the permanent line), Flurry of Fun lipglass from the To The Beach collection last summer and about 8 eyeshadows. The eyeshadows I got from the permanent collection are Parfait Amour, Tilt and Shroom. I also picked up Prepped for Glamour, Crazy Cool, Haunting, Dame's Desire and Tweet Me, all limited edition from recent collections. I have also purchased MAC pigments there in the past, including the mini pigment sets from Christmas 2010 that each had 5 small vials of different pigments. I can't comment too much on the other brands there since I usually am focused on the MAC stuff.
If you don't mind getting an product that is older but still unused in original packaging, then I recommend checking out the CCO. If you are looking for a product that has been recently discontinued, then the CCO is definitely the way to go.
For a list of locations, Click Here.