Living in the US without health insurance is something you can do as a US citizen, but not if you come from Europe and hold a US visa. Apart from the fact that it is recommendable in view of the HUGE health costs here, it is obligatory, at least for certain types of visa.
In general, health insurance from EC countries is not transferrable to the US unless there is a special agreement on social security between your home country and the US, but these agreements normally do not concern people willing to integrate in the job market of another country, but the case of people sent over temporarily by their company. And they do not always provide for full coverage.
What you can always do is to get a travel health insurance for a couple of months which covers all health expenses abroad. That is most likely to be cheaper than getting insurance in the US (also because of the strong dollar and the weak euro) unless your employer provides for health benefits.