I don't use a CPAP machine but I do use a mouth guard type deal that pulls my jaw slightly forward and ensures the airways are open, which seemingly works for my (mild) Apnea.
Once you know what it feels like to not be bogged down by Sleep Apnea, it is indeed eye opening and you will legitimately get annoyed when you miss a night of sleep without it (e.g, you forget your appliance on a trip or something). It quite literally affects everything you do.