Bob's right, at the Friendship Bridge, insurance is available at the AGL office on the right hand side as you enter Laos.
At Vang Tao in the south I think there was an AGL office on the left hand side as you enter Laos.
In Huay Sai, there is always an AGL employee hovering around the car ferry port to pick up customers, so it is never a problem.
I just renewed my 3rd party insurance in Vte with AGL & it cost me 1,576 baht for the maximum 3rd party coverage for 12 months. But all being well, I hope to never use it.