Losing employer insurance, where should I look? (update)

My employer coverage ended at the end of the month and I am trying to work out what to do as a warehouse supervisor. I would rather hear the honest version than the polite one. The COBRA notice arrived with a very high price. What did you choose and how was the process?

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