It simple means the way that you travel less. If you travel to Shanghai 50 times a year, and to Nanjing only twice, the the road to Nanjing is the road less traveled. In this case the US health insurance is one that is rarely used in other countries. IN short, health insurance in the US is not good at all compared to the rest of the developed world.

"The road less traveled" means the path that is less popular. This sentence probably refers to the fact that the US does not have universal health insurance, and has private health insurance. This phrase comes from the Robert Frost poem, The Road Not Taken: http://www.bartleby.com/119/1.html