COBRA costs more than my rent, what did you do? - any advice?

I was offered COBRA and the monthly cost is more than I expected as a security officer. It has been weighing on me all week. I saw that marketplace plans might cost less. Did anyone switch mid-year?

Thanks for writing this out. I went through something close to it 4 months ago, and it got easier once I kept a simple log of every call and form.