I don't disagree with what skyDancer says but would add that before you "shop around" make sure you clearly understand the difference pre-existing conditions make between COBRA and starting a new policy. The key to understanding insurance is knowing what you're losing when you get a better price.
Below is the US Dept Labor FAQ on The Health Insurance Portability and Accountability Act of 1996. Note that it's implementation is different from state to state.
http://www.dol.gov/ebsa/faqs/faq_consumer_hipaa.html
Answered May 17, 2011
Edited May 17, 2011