Many people ask me "What is the best Medicare Supplemental Insurance"? My answer is always buy what you can afford.
The reason I say this is because the best plan is one that is affordable and will be affordable to maintain for the balance of ones life. If the premium is a burden at 65 then it's likely to be worse at 85 when it is likely you will need it most. So my first bit of advice is purchase a plan that you expect to comfortably maintain the premium payments for the rest of your life.
That said a cost/benefit analysis of some different options might be in order. One basic yet common analysis between a plan "A" vs. plan "J" for a specific (undefined) zip code for a Male turning 65. (Medicare Supplemental Insurance Comparison Chart) Your specific zip code will be different.
Premium Plan "A" = $ 99.79
Premium Plan "J" = $143.11
Annual Savings $519.84
Painting with a broad brush assume you will have $150 in out of pocket cost each year by choosing "Plan A" over "Plan J". Your savings is reduced to $369.84/year. This also assumes no significant illness or hospitalization. Over 10 years thats ONLY $3,698.40 in saving. One hospital stay or significant illness would cost at least half that (2009 medicare deductibles)
So, my conclusion and answer is if it's affordable, purchase a Medicare Plan J as soon as possible. Ideally this would be obtained as you are enrolled in Medicare Part B, (Age 65 unless covered under an employer plan). During the first 6 month of obtaining Medicare Part B you have guaranteed acceptance in a Medicare Supplement plan regardless of your health.
You will also need to add a Medicare Rx plan to cover your prescription drugs, which will add roughly $25-$50/month. If this starts to get dauting call a Advisor
You can also request quotes and free consultation on Medicare Supplement plans at Medicare Supplement Consultation, or get Medicare Supplemental Insurance quotes for your zip code.