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.