The local high-end shop sells nitrogen to put in tires. Its effects are only worth it on tubular racing wheels with very high pressures. The nitrogen helps to hold tire shape around corners. Scientifically it weighs less although in the real world such a small difference isn't easily measured.

Also, a note about filling your tires with CO2: sure it's great for quick changes without carting around a mini-pump. However, since CO2 does weigh just a tad bit more than air, and also since it doesn't absorb bumps as well as air, you should pump your tires back up with air when you get the chance.