I've been using a CPAP machine for about 8 years. I think I would be dead by now without it. My sleep apnea is rather severe.
The first several weeks can be tough. The nose often becomes extremely raw and sore from the mask rubbing on the bridge of the nose. Mine certainly did, but I solved that by changing masks twice until I found one that worked for me (it's what they call a nasal pillow mask, and its only contact with the face is where the silicone "pillows" rest against the nostrils). Other guys buy some moleskin and use it for extra padding there.
Untreated apnea is a serious business and can lead to hypertension, coronary problems, and even diabetes. I've sometimes wondered if the changes in body chemistry that apnea produces might even have contributed to the development of my PCa.
In any case, I've learned to love my CPAP machine and sleep better now than ever in my life, and I hope it works out that way for you. There's a sleep apnea forum at Sleepnet.com, though it's not very active. It has an extensive searchable archive, though, where the answers to many questions can be found. Feel free to email me if there's anything I can help you with.
My wife also loves the CPAP machine, because she now is able to sleep without the sound of a snoring husband rattling the room.