It took me a while to get used to CPAP, and it eventually became as automatic to put my CPAP mask on when I go to bed as it is to put my eyeglasses on when I get up. When properly used, CPAP makes the difference between night and day for many CPAP users. There are some people for whom CPAP doesn't work, a good sleep specialist will identify those people during analysis of the sleep study, typically it is because they don't have simple obstructive sleep apnea or they require a very high pressure (greater than 20cm/H2O). There are two effective treatments for moderate to severe obstructive sleep apnea; CPAP and a tracheostomy. Given a choice, I would choose CPAP over a tracheostomy. For some people with mild sleep apnea, an oral device worn at night might be effective.
There are other types of sleep apnea besides obstructive sleep apnea; central sleep apnea and complex sleep apnea, which is a combination of obstructive and central sleep apnea. Central sleep apnea is where the patient stops breathing, obstructive sleep apnea is where the patient tries to breath, but a physical obstruction prevents breathing. Central and complex sleep apnea can be very difficult to treat, and there is a special type of *PAP called BiPAP that can be used, which works like a sort of breathing pacemaker -- and I understand is extremely difficult to adapt to using.