Bad example. Hallway color, other than being irritating, doesn't effect (affect? I've never got that down) you outside of work. What we're talking about here is your health decisions and what role you're bosses personal beliefs play in them.
As for working somewhere else, it's great that in this economy that you're able to just pick another job, but for the people who rely on their health insurance, that's not often the case. Ultimately I think this a reason for religious employers to support a public option in our health insurance industry, that way this isn't even an issue. Don't like you're companies health insurance? Fine, use the public one.