Paintball guns are powered by CO2 cartridges/cylinders or high pressured air (hpa).  You might wonder, which is better, CO2 or hpa?  Overall, there are pros & cons for both, however hpa is better for play performance.  Most paintball pistols use disposable CO2 cartridges, while you will want a CO2 cylinder for a paintball rifle.  CO2 cartridges are cheap and easy to come by, however larger amounts of CO2 (held in different sized cylinders) can affect your shot performance.  When using a CO2 cylinder and a rapid rate of fire, your CO2 cylinder will quickly become cold and even frosted.  If used in a cold climate, this will happen even faster and your tank may even freeze up completely.  Cold CO2 cylinders will also release the CO2 at uneven temperatures, causing your balls to lob and your gun to shoot inconsistently.  HPA doesn't do this and will allow air release at a more even temperature, allowing your paintball gun more consistent action.  You can also add a magazine expansion chamber to your gun that will warm the air and allow for a more even release of CO2 for more consistency.  CO2 is also easier to get refills; you can bring your empty CO2 cylinder to Wal-Mart and exchange for an equal size for less than $10.

   HPA cylinders must be refilled with an air compressor and you can either purchase one on your own or you will have to go to a business that uses this.  Many times you can find refill stations at RV sales lots and sometimes hardware stores will do this.  If they don't there is a good chance they will know someone who can fill it up for you.  Buying an air compressor can be expensive but once you've got one you only need another piece or two to refill your tank.  If you refill your own tanks, you will also have to keep track of the expiration date on the tank; after some time it won't be good anymore and you will have to buy another tank.  This is another reason why Wal-Mart and using CO2 makes things a lot easier to deal with; they keep track of this for you.