I'm lucky enough to have a job where my company offers a health insurance plan, and that's definitely the way to go. Some people, however, don't have that luxary. Either their employer doesn't offer a health insurance plan, or they are simply unemployed. For the unemployed, it's extremely difficult to afford. The cost is simply too high. For those that are employed, there's no reason not to have it.
If you honestly can't afford it, then so be it. But if you have even a little extra money laying around that could go towards health insurance, DO IT. You won't regret it. For one, it's worth it for the peace of mind that you'll get just by knowing that you are covered if something happens. An easy way to get into debt is to have to go to the ER and not be covered. Just to be admitted is some ridiculous amount of money.
I'll use my Father's great words of advice when it comes to insurance. He's always said, "It's expensive when you don't need it, but cheap when you do." If you've ever had the unfortunate luck to experience an ER visit or general hospital visit, then you know that's true.