I use what's called a BiPap. It changes to a lower pressure when you exhale - I couldn't tolerate the CPAP.
Anyway, what happens with apnea is when you go into deep sleep (not quite REM), the muscles in your throat relax and (depending on the shape of your throat), it can actually cut off your air supply. Most people that have sleep apnea snore also - but this is more extreme. So, what happens is your body needs oxygen, your brain wakes up just enough (not conscious) to make those muscles work and open your throat. You never really wake up, but you never really achieve REM sleep either. Your blood oxygen level gets low as well. Basically you feel like crap when you wake up, and drag for the whole day. Most also get high blood pressure. The list of other health problems that can arise is long, as well as things like falling asleep behind the wheel during the day. Usually people with untreated sleep apnea end up dying before their time. A lot of people that have it are obese, as there is more "meat" in the throat to fall back on itself - sometimes they can remedy it by simply losing weight. Others (like me), simply have poor genes and have to live with it. Others can have it corrected by surgery (depending on where the obstruction is). The sleep studies I had to go through sucked, no doubt - and the mask I have to wear took some getting used to. But I have to say that it's worth it - I now have energy during the day, and sleep better than I ever did (for as long as I can remember actually). I don't use the ramp setting (I did at first). I use what's called Nasal Pillows - the air goes up my nose, not in my mouth. The mask is much smaller than a regular one. Though some people are mouth breathers - this doesn't work for them.