Exhaling is awful, it makes me hyper-aware of my breathing, which makes it harder to sleep, and if I have a runny nose or if I have to yawn, well, I need to yank that thing off. Have we really not come up with a better treatment for something so common?
You get used to it. What kind of mask are you using? I had a horrible time with the over-the-nose style; nasal pillows aren't quite as horrid, and didn't leave me with acne problems on my upper lip or dents in my forehead skin.
As for alternatives, I remember about 15-16 years ago, Canadian doctors were experimenting with a treatment involving implanting fiberglass pillars in patients' soft palate tissue. I'm not sure how that panned out -- guessing not well, since it's not more widespread.
Have you had your tonsils out? I was able to drop my pressure setting a little bit after I had mine out, and for some people, it's enough to ditch the CPAP entirely. Weight loss also helps, but if your palate droops, it's going to cover your airway regardless of your weight; your best case there is just a pressure reduction, and you'll still have to sleep with the mask on. You'll get less leakage/discomfort while exhaling at lower pressures, though.
Re: the runny nose thing, I struggled with that for years. I've had pretty good luck with generic Flonase -- it should be safe to take fairly long-term, as long as you aren't prone to any of the side effects. Note that, unlike normal nasal sprays (e.g., Afrin), it takes several days to really take effect since it's a corticosteroid. The other option is a full face mask, which might be nice to have around as a spare (e.g, while sick or dealing with seasonal allergies), but it would suck to have to use full-time.
There are CPAP models that reduce pressure on exhale so it's not so difficult. Essentially mimicking a BIPAP at lower pressures. What machine do you have?