Without knowing what kind of Health Insurance your employer provides, or what state you are in there are some very simple answers to your questions.
1- Can I cancel the ER provided health plan: Yes. At ANY time you can terminate your health insurance policy. Be aware that the reverse is NOT true, and once cancelled you may not be able to get it back.
2- Can I go out and get my own health plan: Probably. Depending on your health history and current well-being, you may be able to go out and procure less expensive health insurance than what your employer has. Be aware that you may not be accepted for every plan you apply for.
3-Are there IRS problems: While you will have to speak with your HR department to be certain of this, probably not. The mechanism used to pay for your current Group Health Insurance (called a Section 125 POP, in California) is purely for your own benefit. You probably will not be able to use it to pay for your individual health insurance, but it is possible, depending on how the HR department/your broker set it up. Depending on your employer, he/she/they may even be willing to subsidize your individual Health Insurance costs.
WARNINGS: It is certainly NOT a good idea to cancel the ER provided insurance before you have a letter (in your hand) from your individual insurance, stating that the new insurance company is covering you. Even bad Health Insurance is better than NO Health Insurance if there is an emergency. I am also not promising you will find less expensive products, or better coverage, so you will want to speak to an independent brokerage (ie- Not some one tied to a single carrier) in your state who can advise you on the specifics of your situation.
If they want to charge you for advising you, find another broker.
Additionally, Health Insurance rules and regulations can vary from State to State. If you are in CA, then the answers I have given are 100% correct. If you are elsewhere, there may be some variance.
Also, if you are in California, I suggest you go to the website below and request a quote. The individual specialists there are exceptional.
No, I am not one of the individual specialists.
Health/Life Agent, employee benefits specialist in California