Do not get a gasless one. THe gas in welding it to purge the welding area of oxygen. If oxygen gets around the welding area, you not only get ugly welds but the strength can be comprimised aswell. I've used 100% CO2 and a CO2/argon mix with good success.

And as Gareth said, it's worth spending a bit more to get a decent set.

I'm on the scrouge for a TIG set from work at the moment which is a bit different from MIG.