Here is what we are doing, and applies to California. As has been mentioned, other states will be different.
I have found both blue Shield and Blue cross here have about the same plans and about the same rates... but rates vary alot from plan to plan. I went with Cobra for the first 18 months of my early retirement, and then switched to Blue shield. Since I take a cholesterol regulating drug (gemfibrozil) i was put in rate tier 3 for coverage. Since family coverage follows the highest risk person, it was cheaper to get my daughter her own coverage in Tier 1 than to add her to our policy. For rate comparison, her coverage is $109/month while ours was $1160/month. I recently went "plan shopping" based on the 20% rate hike this year and found a higher deductable /co-pay plan that is around $500/month for the two of us.

My agent sent me the entire rate sheet, and contains some numbers that might be interesting for planning purposes. The difference between tier 1 (lowest risk people) and tier 5 (highest risk people) is about 3X premium cost. The difference between a 50 year old and a 30 year old is about 2.5X assuming you stay in the same tier. Now, as we age we are more likely to have issues that will push us up into a higher risk tier, resulting in more expensive insurance. The same insurance for a 60 year old in tier 5 is 20 TIMES more expensive than a kid in tier 1.

As a planning number, my health insurance cost has gone up on average 9.5%/year for the past five years. This year, barring any significant health issues, it should be significantly lower due to the plan change.

A strategy I have heard used is self insurance. This works fine until something really BAD happens. If your state law allows seperate property for spouses, you can divide the nest egg in two. IF something really bad happens you WILL get the health care you need. Give them your half of the money and declare bankruptcy. Live off your spouses half for the remaining time. Personally, I really hate this strategy, but my rate table (for my new lower cost insurance) shows 60 year old in tier 5 has a premium of $2550, which is getting kind of painful.
--Alan