I just started a about a month ago, and let me share my experiences that I don't see others report often in response to this question.
(The responses are out there, but they are harder to find)
There are many "masks" available - from covering the face to a nose mask to a tube under the nose (like an oxygen, but with a much fatter tube, including running up the sides of the face to the 1-1.5 inch diameter tube that runs to the machine). I'm using that latter, and I've been struggling.
If I'm sitting the mask is comfortable and I can tune it out unless I speak or breath through my mouth (it tries to prevent that with airflow, which is uncomfortable but not painful).
BUT if I'm trying to sleep there is nothing to distract me and I'm very aware of the tubes. It's hard to relax and breathe effortlessly - I feel like I'm breathing very deliberately, which in turn keeps me awake. I sleep on my side, which doesn't work at all - I either squish the side "tubes" (they are flat silicone-ish) which cuts off air, or I hang off the side of the pillow enough to not put that much weight on it, but then the sound of air rushing through the tube alongside my ear is very audible.
I'm training myself to sleep on my back with pillows built into an armchair-like support, but it's slow going changing a lifetime habit. On my back, the only issue is the forced focus on breathing. Oh, and staying on my back of course.
I also still wake up at times with the feeling that I can't breathe, but the air is flowing. I don't think it's mental, because it continues ( I can feel the air blowing from other places, but it's not getting into my lungs until I adjust the nose piece, sometimes it takes several times. Other times I wake up to discover I've removed the mask in my sleep.
So basically, for the past 23 nights, I've been unable to fall asleep until I'm exhausted. My wife might as well be in a different bed - no snuggles as an option. I only get 5-6 hours of sleep before waking (usually due to that feeling of not breathing), at which point I'm rested enough to not be able to fall asleep with it on again.
It DOES make a difference - the english language doesn't have the words, but I end up feeling much more energetic, but still tired (because 5-6 hours of sleep that only starts when I'm exhausted). Many of the praises I was promised (unasked!) haven't manifested (at least not yet): no noticeable change in my hunger, focus, anxiety, depression, general health, or bedroom-focused activities...just more feeling of physical energy. After being tired for most of my adult life, the energy is a nice change, but I'm still tired and was really hoping for the effort to improve some of my issues to be reduced to what seems like normal-person levels.
Digging deeper in my research, I've found many of these symptoms are common and it can take several months to adjust everything. Some users report that it never really gets better, others report that it changed their life and they swear by it up and down.
My follow-up with the doctor is still 3 weeks away, and who knows what he'll say, but getting this far in the process has taken literal months (4 months now) mostly waiting for appointments, with some waiting for test results. The insurance was (and is) a complication (despite being told repeatedly by multiple parties involved that my insurance is very good) and honestly, if you can afford it, I'd recommend looking into the ~$2K for the machine+accessories out of pocket so you can skip some steps and focus on actually getting the machine. I'm sure the months of waiting to even get to use it did not help the let down I've felt in the results to date.