The National Center for Health Statistics has released its estimates of health insurance coverage in the United States derived from household interviews conducted under the aegis of the Health Interview Survey. The report is entitled Early Release of Health Insurance Estimates Based on Data From the 2006 National Health Interview Survey.
As an aside, the Census Bureau conducts a similar study, using a different methodology so when comparing insurance coverage over time you have to be careful to make an apples-to-apples comparison.
Top line results:
The study examines data collected from interviews in over 100,000 households nationwide. Some of the highlights include:
- In 2006, there were 43.6 million Americans of all ages who did not have health insurance (at the time of the interview), or 14.8% of the population.
- Among working-age Americans (those ages 18-64), there were 19.8% who did not have health insurance in 2006, a slight increase from 18.9% in 2005.
- Approximately 9.3% of children under the age of 18 did not have health insurance in 2006, a decrease from 13.9% in 1997.
- In 2006, the percentage uninsured at the time of interview among the 20 largest states ranged from 7.7% in Michigan to 23.8% in Texas.
If you are interested in health insurance this report is a must-read.
NCHStats 
Thanks for your question.
While we don’t provide the answers to those questions for 2006 in this report we did provide this for 2005.
In the report Summary Health Statistics for the U.S. Population: National Health Interview Survey, 2005, tables 24 and 25 beginning at page 67.
24.0% indicated that this was because of a loss of employment or change in employment
2.8% due to a change in marital status or death of a parent
8.4% ineligible because of age or left school
14.8% employer did not offer coverage or insurance company refused to cover
53.1% due to cost
10.2% Medicaid stopped
5.3% due to other reasons (moved, self employed, never had coverage, no need for coverage, and other reasons not specified)