I just had a sleep study for sleep apnea....?

I had it done last night and they had me all wired up and monitored my brain waves, breathing, O2 levels, ect all night long. This morning they tole me that I started having "episodes" as the Dr. put it, as soon as I feel asleep and woke up off and on all night long, was only in REM sleep for less than 10 the whole night, my O2 levels kept dropping and I stopped breathing often. In a few days they are going to have me do another sleep study, except this time, put a CPAP mask on me. Are those uncomfortable? Do they seem to help? I'm so tired all the time and have a bad headache every morning because of this. Anyone else with this problem, I'd like whatever info you have, thanks.