Both have their benefits and problems.
Co2 : Pros :
- You can get more shots per fill
- Cheap
- Most sites will fill Co2
Cons :
- Dirty
- Inconcistant
- Cold (its nasty peeling your hands off a frozen tank)
- Slow recharge
Air (Nitrogen) : Pros :
- Very concistant
- Faster recharge rate
- Clean
- Not cold
Cons :
- Not as many shots per fill (if you have a medium sized 3000psi, though 4500psi tanks get just as many shots)
- Expensive
- Not all fields fill air.
Overall most people prefer air (I do) it will improve the perfomance of your marker to no end, you'll see the benefits over Co2 as soon as you get it.