Like the gal said below, it can be a crap shoot. But, not always. First, do you have a pre-existing condition? If not, you ought to first go to an INDEPENDENT agent, and ask him/her that you need insurance. Consider how much of a deductible you'd like (the higher the deductible, the lower the monthly premium).
Consider things like how often do you tend to need insurance and how much you're willing or ABLE to pay monthly. My experience has been to stick with the 'name brands' of Blue Cross, Aetna, Humana, United Health Care and companies like those.
However, if you can't afford those premiums, every state w/ one exception (I don't know what it is) has an insurance plan for people who lack means (but don't qualify for Medicaid)
I'd start by researching the market and checking ALL sites, the talking to an independent agent or if you're sold on a company, call them for information.