Here is a look at the various options
COBRA is a federal law that requires employers to allow departing workers to buy health insurance through the employer's group plan. For the first 18 months after you leave your employer you may elect to continue to receive coverage in your employer's group plan at your expense. However having a look at monthly premium, COBRA coverage for a family can run $500 a month, and upwards of $200 a month for an individual, which is not the best deal.

Shop around, you may find joining a short term insurance plan to be less expensive than continuing your current insurance under COBRA.

Self-employed: starting in 2003: good news for the self-employed is that the self-employed health insurance deduction was increased to 100% from the 70% that was deductible in 2002. As a result, if you work as a consultant, freelance worker, and other self-employed individual you will be allowed to deduct all of your health insurance premiums. Further in this you can take advantage of this deduction even if you do not you itemize your deductions on your tax return.

Even with health insurance the portion of medical expenses that has to come out of your pocket can be more than you imagine. If you have to dip into your retirement savings for certain medical expenses, distributions from your IRA used for that purpose may be exempt from the IRS 10 percent early withdrawal penalty. However, you still will have to pay taxes on the IRA distribution. Another alternative is to transfer your IRA to a Self-Employed 401(K) plan and take a loan from that plan. Loans from a 401(k) plan are tax-free and penalty free as long as the loans are paid back.