I am having a sleep study done because I have difficulty with catching my breath when I fall asleep. I feel like I am not breathing, so I have problems relaxing enough to fall asleep. So I am worried about not falling asleep at the sleep study. SO should I take Xanax, Ambien or Benadryl. One Doc says Ambien, one says Benadryl and my  friend says Xanax. Does anyone have experience with this, I NEED ADVICE.
Thanks!!!!

I'm with ambien.   Ambien does have anti-anxiety effect, it binds similar receptors to Xanax which would also be fine (all assuming you have a presecription for this and the people doing your sleep study know what you are doing).

I imagine the doctor recommending benadryl is doing so since it is OTC and relatively weak, but honestly, that's the problem with it - it is weak.  Unless your allergies are causing your problems I would not use that.  If anxiety is your concern you want something that is binding the appropriate gaba receptors - the benzodiazapine receptors.  That means Xanax or Ambien.  Xanax is more known as an anxiety-reducer, and ambien a sleep-aid, but honestly either will calm you down, which benadryl won't do.