Yeah, I've had one. It's uncomfortable and a bit irritating. But, they gain a lot of useful information from it that can really help you.
Most study rooms are set up like a bedroom with a private bathroom. There will be a person who monitors you all night long from another room.
They will place electrodes on your head, and hook you up to more wires than you've ever seen in an emergency room to monitor just about every aspect of your sleep. At some point they get you to wear a mask. This is for the machine that will assist you in breathing at night. That will be real bothersome at first, but hopefully you get a little used to it and go to sleep. Right when you are getting the best sleep of the night, they usually wake you up and send you home, LOL.
Sleep apnea is very common. If you have it, you will probably be prescribed and set up with a CPAP machine.
http://en.wikipedia.org/wiki/Positive_airway_pressure
A lot of folks have the CPAP machine at home that helps them sleep. For those that sleep with another person, they will love the fact that it prevents you from snoring all night. Until you get used to it, it can be a real PIA. But one day you will wake up and realize you had the first good nights sleep in years, and it will be amazing.
You will be surprised about the number of people that these things help.