I did two studies -- I got put into a second one because a subsequent doctor suspected that a better sleep lab (with more precise measurements) would give a more accurate result. It is not the most comfortable experience (lots of wires and gummy stuff in your hair and on your body for lead wires), and it's a little weird being monitored and being woken up to try you out on different CPAP pressures and devices.
That said -- I've been sleeping with a CPAP machine for over a year now, and I sleep much better and deeper than I did before (great dreams and REM sleep). I had to change from being a stomach sleeper, and now sleep on two firm pillows on my side, which is better for my back and neck. I really noticed a difference when our power went out a week ago, and I could not use my CPAP - I really, really missed it. Plus, my wife now can sleep in the same bed without earplugs! If you commit to it (and get over the initial discomfort sleeping with a CPAP), it is very, very, worth it!