Have you had a sleep study done?

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My doctor wants me to have a sleep study done. He believes that I have sleep apnea and my husband completely agrees. I have called the sleep center to get them working on the insurance pre-certification but in the meantime I am just stuck waiting and wondering. . . What is it actually like when you go in for a sleep study? Do you get freaked out because you are hooked up to so many things and you know that you are being observed? Are you uncomfortable and unable to sleep due to the clinical setting or is it just like being in a hotel and you can fall asleep right away? As you can see, I have some anxiety about the idea of participating in a sleep study. That being said, I know that it must be done so I appreciate any and all information that you guys can share with me!