I think that the best manner in which to provide an answer to this question is in three parts. The first part is to consider whether a return to the State of Nature is to be avoided, as in would it be a worse situation than the one we are currently in. Secondly, we must consider whether it is in fact possible for us to return to the State of Nature, as if it is not possible, then there is no threat to society, and Hobbes' warning argument falls down. Finally we must consider the important question of whether there could be any situation that would be worse than the State of Nature, and thus whether we can truly say `at all costs'. Hobbes description of the State of Nature does indeed seem to be a bad one, and one that should be avoided, but I do not see it as a valid possibility, and thus it holds no real threat. This makes consideration of worse situations difficult, but I think that there would be some situations that would be worse than Hobbes' pessimistic view of pre-society. Certainly when I consider what I think would be the worst possible actual situation a Hobbesian style societal collapse could lead to, I can think of many situations where it would be worth risking such collapse.
To begin with, I shall examine the implications of existing in the State of Nature. for Hobbes, the defining characteristic of this age would be a lack of any trust. The argument runs that since we are all roughly equal in terms of survival chances, and there are finite resources, each individual is a threat to every other individuals continued existence. Therefore it is not in any individual's interests to help sustain any other individual, and is even in their interests to attempt to shorten their existence by any means possible. Hobbes asserts that there is a natural law in this time, one which says that nothing is wrong. In a state where you can never trust any other individual, you can never collaborate, and must live always depending only on yourself. This effectively precludes any kind of progress, as gained knowledge would not be passed on, since it would be a threat to your self to share your knowledge with a potential competitor. Hobbes' famous quote about the nature of this life is that it would be ``nasty, brutish and short''. What needs to be examined is whether this in fact a `bad' state to exist in, and whether it is better or worse than our current one.
The essential problem with the State of Nature in Hobbes' view is that it is dangerous for every individual, since effectively everyone is out to get them. He views it as better if we can at least reduce the level of competition, or perhaps just the vehemence of it. However, competition is the method by which we improve, without competition there is the threat of stagnation. If life is easy and no-one has to strive for anything, then no-one reaches their full potential. We would surely view reaching our full potential as desirable, and thus it seems that some competition is necessary. We can then extrapolate this to the extreme that is the State of Nature, and say that the ultra-competitive requirements of this situation would force excellence from every individual, or else they would fall behind, and fail. This would lead to a stronger and more viable human race, albeit maybe as a race of Nietzschian Ubermensch, and can therefore be seen as an excellent manner of living. What Hobbes is doing is concentrating upon the individual's perspective, since the potential for one individual to fall behind is quite high, and therefore it is possibly bad for that individual, but for the whole I would argue that it would be highly beneficial. As to whether such a state would be an improvement over our current situation, I would refer to the same line of reasoning. Our current state is one of much lower competition, so fewer individuals achieve their full potential. Therefore, from the point of view of the whole society, this can be seen as a definite disadvantage. However, individuals within the society are much better protected due to the lower level of competition, and thus their existence will be more pleasant. It seems to depend upon whether you see the whole or the individual as the most important factor.
I shall now move on to the question of whether or not it is possible for us to return to the State of Nature, and thus the validity of the threat. There are two divergent views about the nature of our society, some think that it is stable and ingrained, whilst others think that it is delicate and artificial. It is often said that we are four meals away from savagery, meaning that if society stops functioning in such a way as it fails to provide us with what we need for a noticeable period of time, we will revert to Hobbes' confrontational state automatically. All our civilisation is just superficial, we only preserve it whilst it is in our immediate interests to do so, and as soon as we are no longer getting our immediate gratification from it, we would leave it all behind and start fighting amongst ourselves. I think that this view is highly pessimistic, and is not supported by evidence. Whilst it is true that our society would be in grave trouble should infrastructure break down, I do not think that savagery would return in quite such an immediate and spectacular fashion. We are too used to having a society, so if our current one was to fragment totally, we would instinctively form a replacement. This is supported by examples of people who get cut off from society. Should a group get cut off, say trapped in a cave, they tend to naturally form a micro-society, albeit with some people who fail to do so due to the situation. However, the will is there, we are too used to forming hierarchies and systematising things to just stop. We could then consider the experiment of a new batch of humans started totally cut off from humans who have developed a society. Would a group of humans, capable of fending for themselves but unaware of any form of society co-operate, or would they in fact automatically consider every other individual a threat and seek to survive in isolation. I would say that they would naturally form a group which we could recognise as some sort of society. Even if they did begin with total suspicion and separate from each other, the biological imperative of mating would drive them to seek out other humans, if only for brief moments. From this family groups would form, quite possibly only with the mother present, but this would still be a proto-society. This would develop into a tribal state, just as we did, and would eventually reach our stage of society. This is what I see as the core of our society, the reason why we co-operate. We are all essentially related, even if it is only very distantly.
Another reason that I think that we would form societies is that they are evolutionarily advantageous. A group is more likely to survive than an individual in most situations, since there are many things a group can do that an individual cannot, and in a group you will have individuals with different skills who can benefit each other. As this state progresses, other groups such as this would inevitably arise, and thus to be more effective than them and to have a higher chance of survival, the society would have to become more cohesive, and as time progresses, the society would evolve and adapt to be superior to other societies. Thus the State of Nature is not advantageous to individuals, and any who did fall into that state would be less likely to survive than those who were not in it.
If we can never completely revert to the State of Nature, only to a more primitive form of society, then it seems that Hobbes argument loses much of its force. It is the abhorrence of the supposedly terrible State of Nature that leads Hobbes to tell us to put up with any society we find ourselves in. If society is an integral part of human nature, then it should be reasonably stable, and resistant to our attempts to change it. If it is not, then it may well be that it is an unsuitable society anyway. What we must consider now is whether there are situations that would be worse than the State of Nature, and also those that would be worse than what I see as the worst possible state we would revert to in actuality.
What Hobbes is trying to escape from in his State of Nature is the fear each individual has for his own life. He sees the social contract as a way of protecting the lives of each individual. Therefore a society in which your life was under threat would not be acceptable to Hobbes. I can see two possible examples of a society in which your life could be taken from you easily. The first is a society in which Peter Singer's Survival Lottery is operating. If you could be randomly selected to die at any moment, then it seems that this would violate Hobbes wish to escape from fear of losing your life. The second society is one similar to the one in place in George Orwell's 1984, one where you are under threat at every moment, without ever having done anything to warrant it. You could argue that this second society does in fact need you to provide a reason for the Thought Police to turn up, but I still view it as an unreasonably stringent regulation, and a Survival Lottery seems to definitely warrant an overthrow of the society.
It seems then that Hobbes assertion that we should not attempt to alter, let alone overthrow, any society we are in is too sweeping. To begin with, there are some societies that we should not have to tolerate, and would be entirely justified in attempting to overthrow, even without God's express instructions. This is allowed, although not explicitly dealt with where Hobbes says that every individual is allowed to protect their own life, even if ordered to die by the sovereign. An extreme case could then well involve an individual overthrowing a society in order to avoid being killed. From there it is not much of a transition to reach the idea that a society where every individual is under threat of death can also be overthrown according to Hobbes. Even if we were not to find ourselves in a society as extreme as this, we could relatively safely attempt to alter it, since the danger of a return to the State of Nature is almost non-existent. The `terrible alternative' is not there, so there is minimal incentive to tolerate a society that you are unhappy with. One could even argue that a return to the State of Nature would be beneficial for the human race as a whole, and therefore encourage it, but this is perhaps unlikely, as most individuals value themselves above the whole, and under Hobbes' system, preservation of self is the prime concern.
T. Hobbes Leviathan (Online Version)