Obstructive sleep apnea (OSA) is a disorder characterized by repeated episodes of complete (apneas) or partial (hypopneas) cessations of breathing while sleeping. While continuous positive airway pressure (CPAP) treatment is commonly chosen to treat OSA, various conservative behavioral therapies are also used, particularly in patients unable to tolerate or benefit from CPAP or who have mild OSA. The principal purpose of these behavioral measures is to reduce risk factors which may underlie or exacerbate the disorder (e.g., weight reduction, smoking cessation, reduction/elimination of alcohol consumption, change in sleeping posture and sleep hygiene). Numerous studies have been conducted to evaluate the efficacy and/or effectiveness of CPAP in treating a wide range of OSA symptomatology. The present study consists of an exhaustive bibliographic search in Medline, PsycINFO, and Cochrane Review (1994-2007) databases and selection of works which have evaluated the efficacy and/or effectiveness of CPAP vis-a-vis daytime sleepiness, depression and cognitive functioning in OSA patients. The selected studies include randomized clinical trials in which CPAP was compared with more conservative measures, sham CPAP and oral placebos. The most important studies which evaluate the efficacy of behavioral treatments for OSA are also reviewed and the most remarkable results are presented. Various conclusions derived from the studies are discussed.