The gas shields the arc from the surrounding atmosphere, which makes a cleaner weld. Gasless mig wire has a flux core (it's usually called flux cored wire) running through the centre of the strand. The flux helps to clean the weld but it still leaves a fair bit of spatter. It's easy to clean off with a small grinder with a soft wheel but is still a pain in the arse. Problem with gas is that you use a lot and I mean a lot, and it's not cheap. If you were doing it professionally there is absolutely no doubt that you would be using gas, but then you won't be using a second hand cheapo welder off ebay. If you are practising on some scrap steel, to get your hand in, I see no issue using gasless. It's easier to set up, cheaper to run and if you can get reasonably good with gasless, when you do move to gas your welds will suddenly be a lot cleaner and you'll feel like you've cracked it.