YMMV. When I was laid off earlier this year COBRA was only slightly more expensive than an equivalent marketplace plan. But agreed don't skip checking the marketplace!
Also be aware of the "COBRA gap". You have the option to (retroactively) opt into COBRA for 60-days, so depending on your situation it may make sense to do without insurance within the gap, and opt-in in the unlikely event something catastrophic happens before your new employers insurance kicks in.
One confounding factor in my case may have been that I was employed across the country from where I lived, so the COBRA coverage vs the state market were completely different markets.
Also be aware of the "COBRA gap". You have the option to (retroactively) opt into COBRA for 60-days, so depending on your situation it may make sense to do without insurance within the gap, and opt-in in the unlikely event something catastrophic happens before your new employers insurance kicks in.