First, what country are you in? That could make a difference in what machines are available to you and what the cost might be.
My experience is with the ResMed machines, and in my humble opinion, they are the best ones. Depending on whether you are buying new or used, I would suggest two models to consider:
A Used Machine
ResMed S9 AutoSet with H5i Humidifier:
This is not the current model and you would be unlikely to find it new, but they could be on the used market. If you buy used be sure to ask the seller how many hours are on the machine. You do not want to buy one that is already worn out. The machine was sold alone, or complete with a detachable humidifier. My wife uses one and it is a very good machine again in my opinion. You should ideally get a heated Climate Line hose with it as well. It allows you to use more humidity without getting into water in the hose problems (rainout). Here is a link to read about the machine:
ResMed S9 AutoSet with H5i Humidifier
A New Machine
ResMed AirSense 10 AutoSet:
There is ResMed's latest Auto CPAP and if you are able to buy new, the one I would recommend. The humidifier is built in. And again I would recommend the heated Climate Line hose. Here is a link to more information on the machine:
The price will depend on where you are located. If in the US I understand that they are sometimes available at a good price on Amazon, and there should be many other on line stores where you can buy it. I am from Canada, and more familiar with the market here. Here is a link to one Canadian supplier. The complete package including the machine is $845 Canadian.
In Canada you will need a prescription from your doctor, and I suspect the same in the US.
Hope that helps some,
Edit: I had suggested the For Her version of the machine, and then I remembered that you will need at least 15 cm pressure, and the For Her version is really only suitable for less than 12 cm pressure. Also the standard machine is likely easier to find.
The AirSense 10 for Her is EXACTLY like the AirSense 10 Autoset except that it also has an alternative algorithm in addition to the standard one. It also provides pressure up to 20. My average pressures are 12-14. The alternative algorithm actually responses quicker to apnea spells, to treat the more common type of apnea in women. Although my husband gets better results using the for Her algorithm, too. We bought his off Amazon for about $500 with the heated hose included.
If you want to buy used, check craigslist but be aware a lot of these machines are on their last legs. If you prefer to buy from an established company check out: https://www.secondwindcpap.com - This company appears to have folks who can help you buy the right machine.
I have patients who have ordered from this company before and it worked very well for them. I had a little look on Second Wind and you can get a new ResMed S9 auto CPAP there for US$700, or a new Respironics DreamStation Auto for US$738 (which would be my preference for a new machine) both with humidifier. Or, if you want to go second hand they have a wide range of machine with under 500 hours of usage (about 2 months) which is practically brand new for a CPAP machine. If you go that route you can get a Respironics 60 series auto with humidifier for US$300, which is very bit as good as any of the other machines and a little cheaper. Really, there is very little difference between one machine and the next. They all work as CPAP machines, so it's more down to little things like the how the humidifier works. Some humidifiers are fiddly to use or hard to clean. Bear in mind that any mask can connect to any machine, so that's not an issue. The AirSense 10 suggested by Sierra above is a bit more expensive and the controls can be a little confusing for those of us who are somewhat technophobic, but otherwise it's fine.