My husband snores horribly when he's in his cycle. The Dr. has suggested a sleep study. Has anyone done this? If so, what were your results. If you were placed on C-pap, did it help with the nighttime headaches?

There is no clear medical literature on this question in relation to CH.  There is evidence that apnea is assoiciated with heart disorders/death, making investigation and treatment a worthy goal even if not strongly linked to CH.
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Curr Treat Options Neurol. 2010 Jan;12(1):1-15.

Sleep and headache.
Rains JC, Poceta JS.

Center for Sleep Evaluation, Elliot Hospital, One Elliot Way, Manchester, NH, 03103, USA, jrains@elliot-hs.org.

Abstract
OPINION STATEMENT: Headache has been linked to a wide range of sleep disorders that may impact headache management. THERE ARE NO EVIDENCE-BASED GUIDELINES, BUT THE AUTHORS BELIEVE THAT LITERATURE SUPPORTS THE FOLLOWING CLINICAL RECOMMENDATIONS:

1. Diagnose headache according to standardized criteria. Specific diagnoses are associated with increased risk for specific sleep and psychiatric disorders. 2. Collect sleep history in relation to headache patterns. Screening questionnaires and prediction equations are cost-effective. 3. Rule out sleep apnea headache in patients with awakening headache or higher-risk headache diagnoses (cluster, hypnic, chronic migraine, and chronic tension-type headache); patients with signs and symptoms of obstructive sleep apnea warrant polysomnography and treatment according to sleep medicine practice guidelines. There is no evidence for suspending conventional headache treatment in suspected or confirmed cases of sleep apnea. Treatment of sleep apnea with CPAP may improve or resolve headache in a subset of patients. The impact on sleep apnea headache of other treatments for sleep apnea (eg, oral appliances, surgery, weight loss) is largely untested. At a minimum, sedative-hypnotic drugs should be avoided in suspected apneics until the sleep apnea is treated. 4. Among patients with migraine and tension-type headache, insomnia is the most common sleep complaint, reported by one half to two thirds of clinic patients. Patients who suffer from chronic migraine or tension-type headache may benefit from behavioral sleep modification. Pharmacologic treatment may be considered on a case-by-case basis, with hypnotics, anxiolytics, or sedating antidepressants used to manage insomnia, tailoring treatment to the symptom pattern. 5. Individuals with chronic headache are at increased risk for psychiatric disorders. Assessment for depression and anxiety may be warranted when either insomnia or hypersomnia is present. Psychiatric symptoms affect the choice of sedating versus alerting versus neutral pharmacologic agents for headache. 6. All headache patients, particularly those with episodic migraine and tension-type headaches, may benefit from inclusion of sleep variables in trigger management.

PMID: 20842485 [PubMed]