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?
Neither are really better, since they are better at different things. Another thing is rebreathers, as they extend the amount of time that you can spend underwater.