At least in the USA, I would speculate your dilemma is very common amongst prospective entrepreneurs and existing small business owners. Besides myself, I know several other self-employed individuals who have had difficulty acquiring and/or maintaining affordable health insurance.
Until recently, I was on a high deductible individual policy, paired with a health savings account (HSA). An HSA allows you to put money in tax free, earn interest tax free, and withdraw it tax free. Even if you subsequently take full-time employment, any money left in the HSA can still be used for health expenses (unlike a medical savings account through employers, which requires you spend the money or lose it). In comparison with COBRA, this option was about 1/3 of the cost to cover myself and my family. My family and I recently switched over to my wife's employer plan; however, in hindsight we actually liked our individual coverage more - especially the HSA part.
In addition to COBRA and professional associations like IEEE, you might also check if there's a small business association in your state. For example, in Arizona (my home state), there is a small business association which offers group health insurance (see http://www.asba.com/benefits/health_insurance.aspx). I'd also ask around with other small business owners in your area - Even if they work in an entirely different field, they can likely give you some suggestions.
In general, I suggest you leave no stone unturned in researching your health insurance options. Perhaps with a few more hours of phone calls to insurance companies, research on the internet, and asking around with other small business owners, you might be surprised what you can find.
By the way: Unfortunately, I don't think IEEE is allowing members to sign up for their group policy (see http://www.todaysengineer.org/2006/Dec/plan-pt2.asp). Until I learned of this, this was my first choice for health insurance.