Explain how your life might change if you were the focus of the media during such an investigation?
Because you have tagged this with "Senator William S. Cohen," I assume that you are asking about investigations such as those that are undergone by people appointed to cabinet posts. Cohen was appointed as Secretary of Defense by Pres. Clinton in 1996.
It is likely that most people who are subjected to a thorough investigation of their lives would not really enjoy the process. Few people have lived lives that have not had any incidents that they would rather have kept out of the public eye. Such an investigation would surely cause a great deal of embarassment to most people. Your life would probably change as all sorts of people (your neighbors, your friends, your parents and your children) all found out about things in your life that you would not have liked them to know.
I would say, then, that my life would, at least temporarily, be much less pleasant if I underwent such a process. I would be very embarassed if one or two things that I did in my younger days came out for everyone to know about. I would imagine that this would be true for the majority of people.