Every paintball gun needs some sort of air in order to fire a paintball and there are 2 ways you can go. Using CO2 is the simplest and cheapest way to go. CO2 is a liquid that expands to a gas, and it is that gas that your paintball gun uses to fire the paintball. The Pros of using CO2 is that the up front costs are a lot more cheaper. Filling a CO2 tank is as easy as going to your local paintball store or field to have it filled and you can generally get quite a few shots in a warm day with it. The Cons of using CO2 comes down to performance and long term wear. When it is colder outside, the CO2 liquid inside the tanks can take longer to expand to a gas which can seriously effect your consistency and accuracy. As you shoot through a whole tank, your velocity can and will keep changing. Even if you let your paintball gun sit for awhile, the heat can cause your velocity to to go up. These fluctuations in pressures can cause inconsistent velocities. This will correlate to your range changing with every shot and your accuracy up and down will be greatly effected. When it is humid out, the gas CO2 will be visible as it exits the barrel which makes it a lot harder to see where your shots go.
The next option is to use an Air Tank. These are also commonly referred to as Compressed Air Tanks, Nitrogen Tanks, and even HPA (High Pressure Air) Tanks. These are all the same thing in the world of paintball. Nitrogen is pulled from the air and compressed while compressed air does the same thing basically, but you get all the elements that are in the air. Nitrogen is mainly utilized in welding and can be used for paintball. Mainly what you see across the US is compressed air as many stores and field now have compressors. The Pros of using an air tank is mainly going to be performance. The consistency from shot to shot and through out your whole tank is extremely good. The first time I went to an air tank, I shot half a case of paintball because I could not believe how much more accurate it was over CO2, and all I shot at were leaves on a tree. The orings on your paintball gun will also last longer as the cold of CO2 effects the orings more and makes them deteriorate more quickly. Since air tanks are compressed air, you can use a gauge to see how much air is left, this knowing when you should fill up so you don't run out of air on the field. Filling an air tank is also much quicker and easier then CO2. The Cons of air tanks is that the up front costs are much greater and filling can be more difficult as there are still many stores and fields that cannot fill them. Make sure to check with your local paintball places to make sure they can fill them before you purchase one. If you have been using CO2 for a long time, switching to an air tank will be a huge upgrade and you will be blown away by the increase in accuracy as I was.