I would go with air. You can get a good Porter Cable or similar quality
brad nailer, that will fill most needs, in the $100 range. Watch the ads.
There are also a lot of good packages offered now that provide a small
compressor and one or two nail guns at a very good price. My son just
bought a set for his job trailer for less than $200 (Oil-less pancake
compressor and a Delta brad gun - I think the compressor is PC) .
One caution. These small compressors do great with nail guns and low-demand
tools, but not good for continuous demand such as sanders, sprayers, etc.
After you get going you will find out that the host of tools and accessories
available make compressed air one of the best things to have in your shop.
You might consider going with a larger (3-5 HP, 20 to 30 gal tank, etc). My
preference is the conventional oiled pumpers. Oil-less machines do recover
quickly but the noise makes my fillings hurt (I don't think they do as well
in service life - opinion).