CO2 is a little more difficult to weld with, but it is much cheaper and provides higher weld temperatures which (once you get used to it) make it faster. The higher temp makes thin material more difficult to weld, but it generally penetrates better and it's much better for burning off galvanizing and paint.
The cost, speed and penetration make it pretty tough to beat CO2 for heavy fabricating, but not ideal for beginners or thin material.
Argon is probably the easiest to learn and results in really clean, nice welds, but it is more expensive and burns cooler so it's slower and does not penetrate as well. One nice thing about Ar is that you can weld aluminum with it too.
75/25 ArCO2 is generally accepted as the best all-around MIG gas for mild steel.