CO2 will remain liquid when cold, won't expand uniformly, and is unreliable in general. If Liquid CO2 gets into your gun, a valve will explode. This is why you should have an anti-siphon valve and expansion chamber if you're playing in anything under 70° (just to be safe.) The exception to this is TIppmann markers, which have a special valve (whose name I can't remember ATM,) that prevents liquid CO2 from blowing up your internals.
Nitro is the most stable, won't expand in heat, and costs the most. The stability results in less air-chopping, better accuracy, and better range because you don't have to worry about a pressure spike throwing you above the 280fps limit, so you can keep the pressure higher. Compressed air is almost the same as nitro, except that it's less pure and you may get a bit of water vapor in your marker.
Post more questions if you have them, I'll answer what I can, and our other paintballers can probably help. If you need more advice than we can give, and you don't mind being flamed and called a "n00b" by 13-year-olds, head to
www.pbforum.com (I'm MSD over there)