I suppose you have already considered this, but I didn't see it mentioned. If you have pre-existing condistions the chances of purchasing individual health insurance is slim to none. You can't purchase it at any price because they will not sell it to you, or if they do it come with riders and exclusions for the very thing you need the insurance for.
This is where COBRA comes in. If you take COBRA, use it up, you then become HIPAA eligible which you are guaranteed the right to purcahse a HI policy. What that is varies between states. It can be the state risk pool or a conversion policy etc.
If you don't use COBRA then you loose the HIPAA protection. For a family coming off a highly subsidized, low dectuctible "cadillac" plan then it is very expensive. But for single coming from high deductible plan to start with it's much better than fighting the insurance companies ( you can't win ).