Losing employer insurance, where should I look?

My employer coverage ended at the end of the month and I am trying to work out what to do as a customer-service rep. 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?

Thanks for writing this out. I went through something close to it 9 months ago, and it settled down once I kept a simple log of every call and form.