Obstructive sleep apnea (OSA) is a highly prevalent disease, and is traditionally associated with increased cardiovascular risk. The role of comorbidities in OSA patients has emerged recently, and new conditions significantly associated with OSA are increasingly reported. A high comorbidity burden worsens prognosis, but some data suggest that CPAP might be protective especially in patients with comorbidities. Aim of this narrative review is to provide an update on recent studies, with special attention to cardiovascular and cerebrovascular comorbidities, the metabolic syndrome and type 2 diabetes, asthma, COPD and cancer. Better phenotypic characterization of OSA patients, including comorbidities, will help to provide better individualized care. The unsatisfactory adherence to CPAP in patients without daytime sleepiness should prompt clinicians to examine the overall risk profile of each patient in order to identify subjects at high risk for worse prognosis and provide the optimal treatment not only for OSA, but also for comorbidities.