And let me tell you - NO one makes it easy...
I worked in NJ and had NJPLUS, which is essentially BlueCrossBlueShield. Now I'm in WNY, where NJPLUS has no doctors. AH! you say, there are doctors in WNY that are in BCBS though. YES! You are right!
However, BCBS of WNY told me that I had to have a "guest membership" in order to choose a physician here. Otherwise if I use a doctor here and I don't have a guest membership, it's considered "out of network."
NJ told me three, count 'em, THREE different stories.
1. It's all out of network once I move out of the state.
2. The NJPLUS plan automatically converts to Empire PPO (which is not even the same type of plan - NJPLUS is an HMO)
3. NJPLUS is still the plan, but it will be administered through Empire Direct HMO, so I should choose a doctor from their HMO list. This one seems to make the most sense, but when I called Empire, they were like, "We won't cover that - you have to call WNY BCBS"
So I spent 2 hours on and off the phone and I still have empty COBRA paperwork that HAS to be filled out or I get NOTHING (like the Seinfeld Soup Nazi but for health insurance).
You know, I would just say "fuck it" and not do any of it, but there's that "you never know" thing in the back of my head, plus I don't want to have a break in my coverage lest it cause an "issue" with preexisting condition nonsense for my new insurance...aaaarrrrggh!!!
I can't even tell you guys how INSANE this is. Though you can guess. All for 2 months of coverage before the bennies kick in at Roswell.
So tomorrow I'm calling NJ Division of Benefits to find out about the COBRA stuff, hopefully once and for all.
On a happier note, here's a photo of me and my niece (Camille, aka, "Munchkin") at her 1st birthday party (right before we moved).
She is the sweetest thing going...I miss her a lot!

It was great meeting with you today. I hope we can have many more lunches together in the future.
I use it as often as possible to emphasize how *ridiculous* something is - hehe...
ridiculocity is an awesome word
My mom's current job is working for a hospital negotiating/chasing down insurance companies to get them to cover stuff. She basically does what you're doing and she does it for 9 hours a day. No surprise, my dad wants her to retire soon.