What do you need to know?
Take your own pillow, I didn't for the first one and it stunk.
Before the test they'll hook you up to a ton of wires and you'll look pretty goofy. The gummy stuff they use on your head to hold the electrodes is nasty and you'll want to shower before doing anything the next day. Take a hat.
At a certain point during your sleep you'll be woken and hooked up to a CPAP. During this time they'll adjust the pressure in an attempt to find out what pressure works best for you. You may not sleep well during this time so make the next day's schedule accordingly.
You may not like the mask they put on you, I didn't so I didn't sleep much at all. Before the insurance company would pay for the machine, I had to go back for another study to make sure the CPAP would work for me.
For the second study I was prepared with my own mask by going to the doctor and being fitted for it ahead of time. Things went much better and everything was satisfied for the insurance company.
It's been close to a month now and I'm getting pretty used to it, sleeping almost the entire night with it on. When I do, I get a hell of a lot of things done around the house because I'm full of energy. My eyes aren't red and the bags are mostly gone now.
I have this one with a humidifier.
http://www.cpap.com/productpage-advanced.php?PNum=1952
Don't be afraid you'll get the one at the sleep center. The one's they use are big and ugly. Noisier, too.