Is it cheaper to go with COBRA or get insurance on your own? Group insurance?

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My husband just very recently lost his job. I'm self-employed, and he's also considering starting his own small business. We have health insurance through COBRA for the time-being. But I've heard it can actually be cheaper to go out and get insurance on your own. Does anyone know anything about this? Also, does anyone have any recommendations for health insurance for the self-employed? Is it possible to get in on some kind of group insurance? If anyone has any health insurance tips, please send them to us! We're just trying to make it! (And I know several of you understand what I'm talking about!) Thanks so much for your help! Have a great day, everyone!