COBRA is a ticking time bomb. But it does have the nice property that it keeps your "continuous coverage" which is very important in the face of any pre-existing conditions. That can be a very big deal.
We had COBRA coverage when we started Matasano. Continuous coverage or not, insurance company beaurocrats refused coverge for us. I'm not sure what continuous coverage does for you once you obtain coverage, but in Illinois it doesn't do a thing to help you get it in the first place.