Have been a CPAP user for over a decade. Here are where I've struggled with the machine.

1) Getting the CPAP adjusted to the proper settings - particularly pressure. Typically an overnight sleep study is used to dial in the pressure, but over time that can change.

2) Getting a mask that works for you and your settings. Often you have to experiment with various masks and mask tightness to avoid leaks.

3) Avoid sleeping on your back - it can cause an increase in AHIs. If you can't (like me) a soft cervical collar may be helpful to avoid "chin-tucking" which is more likely sleeping on your back.

4) At first, follow your sleep professional's advice, but if you have problems they can't seem to fix, apneaboard.com is a very helpful independent site for CPAP issues. They also have a utility called OSCAR which enables you to analyze the detailed sleep data from you CPAPs memory card much like your physician. It's takes a bit to figure out the meaning of the data and it's like drinking from a firehose, but the major items are few/no large leaks and an average AHI of 3 or less.

Above all, be patient with it. It takes a while to get used to the discomfort of the mask, the pressure of the CPAP and work out leaks. Definitely bug your sleep therapist/physician until it works for you.

Hope this helps.