IME, COBRA is almost always a better deal than the marketplace offerings typically, unless you qualify for marketplace-only subsidies. COBRA premiums for whatever reason are hundreds of dollars (or more) cheaper than marketplace plans.
To be fair I hadn't looked closely at what all my workplace plan covered, but I was doing physical therapy when I switched that wasn't covered (had to reach high deductible) on my workplace plan and was covered on my marketplace plan!
(I'm in Illinois)