If you're at all claustrophic (and if they'll let you), I'd recommend going with the nasal pillows on the CPAP. When I went for my study with the CPAP, they put a full facemask on me that sent me into a panic attack after about ten minutes. Good luck!
Also, if you end up with a CPAP, it's not that bad once you get adjusted to it (as others have said). I spent about 2-3 months feeling like I was actually sleeping worse with it on than I did without it (I also ended up gaining almost 20 pounds because I was too tired to excercise), but now I feel a lot better when I sleep with it than without.