Yes, if you are requested to take a medical exam they check your urine and/or blood.
The life insurance exam is paid for by the insurance company.
The medical exam is used to determine your health, and whether or not the insurance company should offer you life insurance.
The blood testing may check for HIV, STD's, diabetes, high cholesterol, high protein, cocaine, methamphetamine, marijuana and other legal and illegal drugs in your system, as well as any health problems, cancer or illnesses.
Here's an article that explains life insurance drug tests, how it works, what to expect, and how you may qualify to buy life insurance without having to take any physical exam, blood, urine or drug tests.