Welding gas guards the weld puddle:

The reason that you need the shielding gas is so that it can guard the welding arc from oxygen and additional gases in the nearby air close to the welding arc.

Shielding gas comes in a variety of flavors.
Which one you must use all depends on;

1. What type of welding process you are using
2. What quality of welding bead appearance you want
3. What material you are welding
4. Economical choice of gas to use
5. What type of consumable electrode you are using
6. Level of welding penetration required

The majority normally used mig welding wire in Australia by AWS standards is what is called ER70S-6 welding wire. And the most ordinary welding gas that is used with this is a mixed gas of carbon dioxide (CO2) and argon (Ar), at a ratio of 75%Ar to 25%CO2.

This is also called C25 in the USA. (i.e. C for carbon at 25%).Other than you can also use straight carbon dioxide (CO2), or you can use straight Argon (Ar). The CO2 will provide you much deeper welding diffusion, and it is far cheaper to buy as it is not mixed in with other gases. But on the problem the weld beads will not be as smooth as with mixed gas and there will be a lot additional spatter.