CO2 or Air, many people have this conflict. You need to understand how each works accordingly were you play and the type of gun that your are using. Some hard guns like Tippmann may works better with CO2, other competition guns like ION may play better with air. People always have different opinions, preferences and experiences.
The gas is not expensive, both have similar costs per filling, people look more the convenience. "I do scuba diving and I can fill my air tanks with my scuba tank" or "I prefer to go to the Sport Store next to my house and get CO2".
You can get CO2 refills in stores like Paintball Stores, Walmart, Sport Authority, Home Depot, etc..., for refill your air tank you can go to your local Paintball Store or a Scuba Shop, they have a special high psi output compressor.
To own a filling station for Compress Air you can get a 3000psi scuba tank (avg. $300) or a High psi air compressor (over $10,000)... or for CO2 you can get a tank from the local gas supplier, you can buy it (avg.$300) or rent it (avg. $5/mo.).
Tip: This is what I did, I get one standard size used 50lb. CO2 tank from a old soda machine from any store that went out of business, I paid $25 because needed a Hydro test, then I go to the local gas supplier, open an account and they let me swap it for a filled tank. Only cost me $30 every time for a full gas tank, 50 lbs tank are 800 ounces, is like 40 x 20 oz tanks, around $0.75 per tank versus $5.00 at the retail store,... imagine the gasoline costs that I save and how many times I went and they don't have CO2 available. Now I bring the tank to our play site and everybody wants to me fill their tanks, I can charge $2.00 and still making money.
CO2
The costs of a aluminum CO2 tank are cheaper than a Air tank. CO2 is a liquid that evaporates quickly, that's why you can store more gas with less pressure (900psi) in a small bottle, versus compress air (3000psi or 4500psi).
Basically, as hotter the weather it is, the CO2 faster and easy changes from liquid to gas. In a hot weather you can have like (900psi), on cold weather is like (600 psi). The CO2 tanks cannot be full fill, they need some empty space for the evaporation process. During that process the pressure changes, that's why tournaments that require fast shooting Air is a better option.
When you play, the movements can send liquid CO2 to your gun, that can frozen the rubber rings internally, frozen rubber make it breaks easily having later a CO2 leakage. A cheaper option to prevent liquid come from the tanks is to install a syphon tube inside of each tank, costs about $2 per kit.
Also, some people install on their guns something called "expansion chambers", is like have a second little bottle were give is a second chance to any liquid that escapes from the tank to evaporate before goes to the gun. If you own a fill station like me, you can just put 12oz on a 20oz tank to have more space inside and less liquid.
Keep in mind: Air tanks last less than a CO2 and are cost 5 times more expensive than the CO2. (20oz CO2 tank cost around $30 vs 4500psi air tank costs around $175) . Many places like Walmart sell CO2, but only a few places have a special compressor to fill air tanks.
COMPRESS AIR
Compress Air are cleaner gas, better for your gun and can be use in all kind of weather temperature. With a 3000 psi scuba tank you can fill up to 15-20 times and many competition guns works better with air, hard guns like Tippmann works better with CO2. A scuba tank is more lighter to carry than the 50 lbs CO2 tank. Air tanks can deliver constant air pressure to the gun, versus CO2 changes after every shot. Air is more dangerous since you dealing with higher pressure,but consider that CO2 (900 psi) or 3000 psi, still dangerous, inspect your tank always.
The air tanks capacity are a relationship between the space (cu.) and the pressure (psi.). You can choose between 3000psi Air fiberglass or aluminum tanks, more expensive tanks are the carbon fiber, that can be fill up to 4500psi.
Most people have only 1 scuba tank as a fill station, the problem is that your waisting your top pressure on fill your empty tank, having no more the top 3000psi, on every fill less top psi you will have, that makes you refill your tanks more often.
The most efficient way to maintain your psi at the maximum is having 3 scuba tanks. Use the 1st tank to fill your empty tank, use the 2nd tank to bring up the psi and the 3rd tank to bring to the top psi.