Losing employer insurance, where should I look? - what worked for you?

My employer coverage ended at the end of the month and I am trying to work out what to do as an operations analyst. I worked as an operations analyst before this. The COBRA notice arrived with a very high price. Is there help filling out the forms?

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.