Losing employer insurance, where should I look?

I have 3 weeks left on my current insurance and I am comparing options. I have read a lot of threads here and could not find my exact situation. The COBRA notice arrived with a very high price. How fast did coverage start?

Losing job-based coverage usually opens a special enrolment window, so check the deadline on the official marketplace site. I missed it by a day once and regretted it.