You can move to another state and carry your HIPAA eligibility there. So, if it turns out that Virginia options are too costly you could check other states where you may be interested in living. Unfortunately, timing is tight and you cannot have much of a gap between your COBRA expiration and going on to a HIPAA qualified plan. And I trust that you don't want any gap at all!
Texas has a pretty decent risk pool you can get on if you are HIPAA eligible. California stinks. Some of the guaranteed issue states out east where you live have options that are very costly. (The guaranteed issue states are NJ NY VT ME and MA). Minnesota, Wisconsin, Iowa are excellent but you probably don't want to live there.
Unfortunately most of these options for the unisurable are pricey, whether it is a state offered risk pool or special HIPAA qualified plans from private insurers. But there are huge state differences in price and coverage. Our FAQ section has a lot of information on buying private health insurance. (FAQ archive) Buying Private Health Insurance
Under current law (not health reform which is not yet in effect) depending on the state people can get turned down for insurance and have NO options. This can happen if they are not HIPAA eligible. HIPAA gives options to people coming off of employer group health insurance. (The FAQ section gives the complete rules for HIPAA eligibility). Those same options may not be there if you are uninsured or coming off of a private plan.