Co2= more pressure, which means harder hitting. Also is more convenient because it comes in 12g capsules. Co2 is my personal preference.
Propane= The cheapest and most efficient, can be bought for around $2-$3 at walmart. Requires more lubing of your gun.
Green gas= Propane with silicone oil mixed in. Don't need to lube your gun as much, but it's more expensive (around $15 a can). Also the cans are thinner than propane cans, which means they are likely to explode when exposed to a hot environment for sustained periods of time.
"I have seen the weaponry. Our killitude will be immense." -The Fodder Force Really Cool Squadron
-Double Eagle M56AL trishot w/20 shells
-HFC Smith and Wesson M10 revolver
-Tactical Force TF17 CO2 glock
-CYMA CM.030 AEP
-HFC Mauser HSC
-Double Eagle M47C Sawed-off shotgun
-Double Eagle M58b shotgun
-KWC PT99 CO2 blowback w/two mags (broken, currently)
-Double Eagle Automag springer
In my area, Green Gas is about $18 after tax, and I can only fire off about 1500shots off a can. I can buy 15 12g CO2 cartridges for $12. Each one allows me to fire 200-250 shots in my CO2 NBB Crosman C11. If my math is correct, that means the CO2 costs $12 for 3,750 shots, and Green Gas costs $18 for 1500 shots. If I used only my KWA USP compact I can get almost 2,000 shots off a can, but CO2 is still way cheaper.
Also, as previously mentioned, CO2 hits harder, which can be a drawback if your field has a low FPS limit.
And, if you live in a cold climate, CO2 is less subject to cooldown effect, and it will retain pressure better at cooler/cold temperatures.