If you have a really old machine, even the donation process would not be of help. In that case, see if your community / county has a waste reclamation process for electronic waste. This includes computers, stereo systems, and yes, CPAP devices. Our does. I had a couple units that I donated through that route.
Of course, if you know someone who has sleep apnea and needs a new unit, that is also another choice. I donated one unit that way - to someone I know. Saved them a few hundred dollars on a BiPAP unit that was only a couple years old. So, still a pretty good unit.
If the unit is a newer machine, you might consider donating the machine: http://www.ehow.com/how_5712947_donate- ... chine.html
For example, I donated a machine and some supplies to a sleep study lab / DME, who made it a habit of scheduling open slots with people who could not afford their sleep studies. The business owner was donating "excess capacity" and used older units to supply the equipment.
So, those are some ideas on how you might handle an older CPAP machine you no longer need.