As far as I know you must have a domicile for the reasons stated above.
Danielle and I checked medical insurance rates through www.ehealthinsurance.com
all you have to do is enter your ages, whether you use tabacco or not, and a zip code. Then you can check to see what is commonly available in the given zip code. This quick rate check does not assure you'll get that price - there are some riders that are applied in some cases. In our case the price on ehealthinsurance was exactly the price we paid. Some areas of the country are more expensive than others.
That does not mean you have to see a doctor in that zip code. We know many people who full-time and they buy there insurance in their "home" state whether that be Texas (through Escapees) or South Dakota (through any number of domicile/mail-forwarding agencies) but they see doctors for their annual check-ups, etc. in another state.
Back to health insurance - ehealthinsurance helped us select the plan that suited us (a high deductible Health Savings Account) and then we bought the plan for the same price through a local insurance agent. I know of people who have purchased through ehealthinsurance and they have not had any problems - we just wanted a local agent.
When we evaluated the plans we looked for something that was relatively universal - no restrictions on which doctor you see - no restrictions on specialists you see - and no in/out of network issues.
on edit: I just noticed your Missouri location - that state has some of the lowest insurance rates in the country. For example, policy that we pay about $400 for in GA, also cost about $400-500 in TX, about $500 in SD but it only costs $300 in Nixa, MO