Carbon Dioxide tanks are easy to find and inexpensive, often costing less than $20. They do not require any advanced regulator and are simple to use and it's usually very easy to find places that can fill them. CO2 is also readily available at most sporting goods stores, and many retailers sell pre-filled CO2 tanks. CO2 works reliably in good weather and works well with most beginner and some advanced guns. Many CO2 tanks never have to be re-tested and re-certified and they rarely break or require maintenance. During cold weather, though, CO2 is very unreliable and ball speeds vary considerably from one shot to the next. During rapid firing, CO2 cools the whole gun which also leads to inconsistent shooting. Liquid CO2 can also occasionally enter into the gun, causing mechanical problems and breaking paint in the chamber.
Compressed Air tanks cost considerably more than CO2 tanks ranging from $50 to the hundreds of dollars. Fewer stores are equipped to re-fill compressed air tanks and they require a specialized regulator to maintain a constant flow of the same pressure air. Every 3-5 years compressed air tanks must also be hydro tested and re-certified which usually costs $20-$40. Compressed air, though, delivers a much more consistent performance in all weather conditions and is necessary to maintain a constant, high rate of fire. Some guns (and most high-end guns) require compressed air.
What's right for you?
For beginners, CO2 works very well and most people won't notice the difference between CO2 and compressed air used with beginner guns. If you continue with the sport and move to guns that require precise consistency, you should consider the move to compressed air.