If you get a chance, pick up a copy of Three LTD Engines You Can Build Without a Machine Shop. Those engines are made to run with air, and have fittings to allow running on Helium. The pressure chambers are sealed and they use a magnetic drive, so a helium charge lasts about 2 weeks. Helium increases engine speed by 10% to 15%.
You can use the helium from a party balloon, it is easy and almost free.
As a rule, the lighter the gas, the better the power. So Hydrogen is the best you can do, but you will need to generate that yourself to keep up with the loss. It is very difficult to maintain.
Discussion on Stirling or "hot air" engines (all types)