If you lose your job you may have to pay a lot more (COBRA) for a limited time
No, you'll pay the same as you were paying. Its just that before, you thought you were being paid $100,000 when in fact you were being paid $120,000, and out of that came your health insurance and the other (more-than-) half of your social security and income taxes.
A self-employed person can deduct health expenses against gross income. You are correct in that COBRA cannot be deducted in this way. But it can still be taken as an itemized deduction. I'm not a tax accountant, but my tax accountant is. Another gotcha: if you're taking the 60% markdown on COBRA from Obama, then no, you're not allowed to write it off at all, but I wouldn't be complaining about that.
No, you'll pay the same as you were paying. Its just that before, you thought you were being paid $100,000 when in fact you were being paid $120,000, and out of that came your health insurance and the other (more-than-) half of your social security and income taxes.