I have always wanted to try Scuba Diving.
So have I! I know that it involves having a underwater breathing apparatus, which sounds a bit annoying to be carrying around under there.
I've heard that it's compressed air I wonder what's that like. 
Yes, it is compressed air! It allows greater independence and freedom of movement when they have the tank with them as opposed to surface-supplied divers.
Oh wow, they can also be open circuit right?
Yes they can! These discharge the gas into the environment as you breathe out.
tell me more.
Well closed-circuit, on the other hand, allow recycling of gases that you breathe out into the environment. 
Which one is better?
cylinder or cylinders may be used for an equivalent dive duration. Rebreathers extend the time spent underwater compared to open circuit for the same gas consumption; they produce fewer bubbles and less noise than open circuit scuba which makes them attractive to covert military divers to avoid detection, scientific divers to avoid disturbing marine animals, and media divers to avoid bubble interference.
Scuba diving may be done recreationally or professionally in a number of applications, including scientific, military and public safety roles, but most commercial diving uses surface-supplied diving
Scuba diving
Scuba diving is a mode of underwater diving where the diver uses a self-contained underwater breathing apparatus (scuba), which is completely independent of surface supply, to breathe underwater. Scuba divers carry their own source of breathing gas, usually compressed air, allowing them greater independence and freedom of movement than surface-supplied divers, and longer underwater endurance than breath-hold divers. Although the use of compressed air is common, a new mixture called enriched air (Nitrox) has been gaining popularity due to