CO2 goes from a liquid when in the bottle to a gas within the gun and this can cause liquid CO2 to enter the gun and damge internal compnents by freezing them and making them brittle. The change is also affected by temperature, and so the velocity of the paintballs leaving your gun can be VERY inconsistent.
CO2 tanks are cheaper and allow many more shots per tank and is thus very popular for big games where you may be out playing for long periods of time.
Compressed air is much more consistent, unaffected by temperature and kinder to your gun.
Most sites nowuse compressed air, and it is much more available than CO2, however many sites still offer co2, especially those offering walkon play.
If at all possible, I'd opt for air - if on a budget you can buy a cheap steel tank for £30ish on here. A fibre wrapped bottle is lighter and holds more air to allow many more shots per tank, and start SH from £60ish upwards.