An allergist can give you a "scratch test", where they put a grid on your back and/or arms, and prick each spot with a needle dipped in various common allergens. If the spot swells like a bug bite, congrats, you're allergic! They usually* hit you once, then do another round at 10x concentration on a different spot for anything that didn't visibly, react, and then a third round for any stragglers at 100x. They rate your sensitivity on a 0-4 scale, based on the highly technical technique of measuring the size of the welt/bump.
*I've had it done twice, once on the east coast US, once on the west coast. They use local allergen blends so they can differ, and there are some candidates that they don't normally test for. I had to specifically request they test for "rat" the first time, as my fiancee had pet rats. (Turns out I was highly, HIGHLY allergic to them, but I reacted to basically everything). This does mean if you're allergic to something not in their normal regimen it will be missed.
The whole test took about 30 minutes.
After the first such test, I adopted anti-allergen mattress/pillow covers for dust mite dust and HEPA filters in the apartment, but didn't do much else. When I moved, I went from a terrible allergy place (Richmond, VA, where springtime puddles are often yellow from the pollen) to a much better one (Seattle, WA, which has molds, but far fewer pollens).
I had a pretty terrible time after the move though, and after a visit to another allergist I got on allergy shots (my research said that Europe will do doses under the tongue, but the US doesn't). Surprisingly, both allergists (Richmond and Seattle) were reluctant to put me on allergy shots, as if the cost was prohibitive ($1k-$2k/year without insurance. I've switch insurances a few times and the costs have been from fully covered to ~$15/mo) but I find happiness to be worth it. The shots themselves are, surprisingly, actually diluted doses of the allergen, ramping up the concentration. I like to joke I'm becoming immune to iocane powder.
Switching coasts messed up my progress, and I'm still working on controlling my weight, but then again, I still have multiple cats despite being allergic to them (my now-wife's happiness factors in, but she totally got rid of the rats). I have swing periods - I tend to lose weight in the spring/summer, then develop a cough that leads to seasonal bronchitis (= more drainage) that lasts 3-4 months in the fall/winter (had pneumonia once - I don't recommend it.) I recently discovered that, um, recently legalized edible substances in seattle taken before bed have prevented this months-long cough, so I'm working to see what happens this year.
Psychologically, though, the impact has been huge. I went from being a homebody that was basically tired all the time to someone that, though still lazy, will actually go out and do things and be willing to endure some exercise and effort. I snacked often, and craved sugar. (I suspect the latter was for the feeling of energy - I had already cut caffeine from my diet to try and improve the quality of my sleep). Now I still enjoy a soda now and then but water is fine and my portion sizes have gone down. The last few years, whenever the annual cough came around I started to get really exhausted by month 2, and it made me very resigned over the season. This year I avoided that and I can definitely feel the psychological benefits of not being worn down like that, and expect that I'll be losing more weight and being healthier over the next few months, but time will tell.
When I first went (with the rats), I had spent 6 months in a funk. It had gotten to the point where I would simply sleep through my alarm clock, and when I was awake I was extremely groggy. The effect was gradual, so I didn't really realize something environmental had changed until I compared myself then to myself months prior.
I've avoided going to a sleep therapist because I suspect they'll simply say "Sleep apnea" and call it a day without examining the real reason, but as soon as I'm out of other variables to tinker with that will be my next stop. As it is, I'm currently on allergy shots (administered in their office weekly, requiring 30 mins for them to make sure I don't have complications, until I hit maintenance levels, then it's monthly), I take two benadryl and an allegra before bed, and recently added a cookie to that mix. I also have a nasal thing, though I've not had that for the past 6 months due to insurance complications.
The hardest part at this point is controlling my environment when I'm not in control of it. I have a wife, cats, and my mother currently living with us. I can't just decide to eat only when I'm hungry (I am the main cook in the family), I can't decide how late to stay up, and I can't control the accumulation of stuff (and therefore dust). [Well, that's the "hardest" part since I've already decided to not try and become a gym nut, so I'm avoiding the parts that are hard because of me :)]
Hope that offered some of the detail you were looking for.