It's been a while since I shopped for them, but the main thing was to look for something comfortable enough where you can wear it all night. I started with one of those ones you clip on your finger and realized that although I'd eventually fall asleep with it on, it was easy to knock off and just wasn't worth settling for. I'd say look for something that goes around a finger and read reviews in regards to comfort.
If you decide to go gray for CPAP, one could get their own machine second-hand. There are internet forums you could navigate to figure it all out. You may find yourself owning a Resmed S10 Autoset, figuring out how to size masks and figuring out how to use OSCAR before you know it. I hear dot med dot net is a decent place to find cheap second-hand medical equipment of questionable origins, if one were so inclined...