The key question is: Why is it cheaper for an employer to buy health insurance for their employees than it is for an individual to buy the same coverage for themselves? There is a fundamental reason for that:
Changing health insurance needs to be difficult.
Let's imagine that it was easy to change your health insurance. If you are healthy, you will choose the cheapest health insurance. Then, when you get sick, you'll switch to one that has better coverage. The problem with this setup is that the health insurance company with better coverage will go bankrupt because they only have the sickest customers. Meanwhile the cheap health insurance company only has healthy customers and makes lots of money. That's not how insurance is meant to work -- you need to have costs spread out over both healthy and sick people.
If people can switch insurance at will, you no longer have insurance, you just have a pay-for-service model.
Nationalized healthcare is one solution to this problem. In effect, the only way to "switch insurance" is to migrate to another country, which is impractical. (Also, many countries with nationalized healthcare prevent sick people from immigrating for precisely this reason.)
In the US, the way this is done is by tying health insurance to employment (and various restrictions such as only being able to change your plan once a year). Changing jobs is difficult, so it makes it difficult to switch to better healthcare when you get sick.
When an employer is purchasing health insurance for its employees, the insurance company assumes that the employees are a mixture of healthy and sick people. Thus the insurance company can charge the employer an "average" price for coverage.
On the other hand, when an individual is purchasing health insurance with good coverage, the insurance company assumes that this is a sick person, as a healthy person would buy a cheaper plan. Thus the insurance company charges the individual a higher price.
The health insurance market is actually quite fragile. The "benefit" of tying healthcare to employment is that it prevents the health insurance market from collapsing.
To be clear, I'm not saying that this is a good system. In fact, it really sucks. But ultimately it's a consequence of economics.
Health insurance isn't like other goods and services -- the cost to the insurance company depends on the health of the customer. (In contrast, selling someone a car is a fixed cost to the manufacturer, regardless of the customer.) At the same time, we reject the pay-for-service model (e.g., Obamacare outlawed discrimination on pre-existing conditions), so variable costs cannot be passed on to the customer. So, unless we accept socialized healthcare, that leaves us in an awkward situation and the equilibrium that has developed is to tie health insurance to employment.