Can you drive home from the dealership without insurance?

Yes and no. You can do anything...but there may be consequences. If you already have an auto insurance policy, most company(and you need to check) will provide coverage on a new car for a number of days before you need to notify them. If you do not, then you will need to secure coverage prior to picking up your car. In state where there are mandatory insurance or if you are financing the purchase, the dealership will verify the coverage prior to releasing the car to you.