Many answers here have given what look to be useful perspectives on your question. I want to point out an interesting technical issue.
If an employer contracts with an insurer, it agrees to cover all employees (or all that fill some pre-specified definition and no one else), and to offer only a limited range of options.
If you buy insurance directly, you obviously have a huge range of choices, including the (technically illegal) one of no insurance at all.
Your first thought is probably, "Hey, that's great! More options, more chances to pick the plan that's right for me."
Sorry, no. Yes, you have more options, but so does everyone else.
If you are working for some large company, you get insurance, period. If you suspect you have an expensive health condition, you cannot buy more insurance; if you believe yourself to be healthy as a horse, you cannot get skimpier insurance and pocket the difference. Healthy people and sick people are all in the same predictable pool.
If you buy insurance freely, the insurer knows that the sicker you are, the more likely you are buy insurance, a phenomenon called adverse selection. As a result, the premiums (fees) a person buying his own insurance pays are much higher, because most of his fellow policy-holders are sickly -- even if he himself is just risk-averse.
On the other hand, if you are risk-neutral, if you can survive a $10,000 bill if it happens to arise, you can save big by finding the skimpiest imaginable insurance, where all your fellow policy-holders will be hale and healthy people like yourself.
