It was covered for me. It's considered a medical test which was ordered by a neurologist attempting to diagnose me. I do have insurance, so it didn't cost me a penny out-of-pocket. Neither did the unit and mask they delivered, set up and trained me how to use.
This is what a typical unit would look like:
And this is one of the newer masks:
I can say that it did help me breathe and sleep much better. I know some for whom it works wonders. I had the damnedest time trying to sleep with the hose hanging over my head, so gave it up after nearly a year of trying different masks.
Don't get tempted to buy one on your own; at least not until your prescription has been made available to you. There are many different settings and I'm guessing it could be dangerous to have the airflow too strong or too weak for your needs.
I wish I could say it changed my life, but I do know at least a few that swear by the CPAP machines. I think you should try to get tested at least. My sleep test told me that I stopped breathing several times per hour for several minutes each time. It is a scary thought.
Oh and I do use those Breathe-Right strips. I'm not sure if they're doing anything significant, but they do keep my snoring from waking me up.