A weather balloon is a floating weather instrument, normally made out of latex and equipped with different sensors and instruments. It is filled with a gas lighter than air to elevate it into the atmosphere so certain atmospheric conditions can be measured. Radar, satellites, and aircraft are more frequently used to gather this data currently, with weather balloons usually only augmenting that data; but before those other technologies had advanced to where they were reliable, weather balloons were the primary tool for the gathering of meteorological data.
If an object is immersed in a gas or a liquid, it will displace the gas or liquid by an amount equal to its own volume. Comparison of the weight of the object versus that of the substance it displaces will determine whether the object will float or sink in the substance. So, if a balloon is filled with a gas, it will float or sink depending on whether the weight of the gas is more or less than that of the air it is displacing. The weight of the air being displaced has to be greater than that of the balloon and the gas inside it for the balloon to be able to float. There is only a small selection of gases readily available that share this property. They are hydrogen, helium, and methane.
Helium has replaced hydrogen for weather balloons in recent years since hydrogen is explosive in large quantities and can therefore be unstable and unpredictable. Helium, though, has to be mined, and there are not many reserves that can readily supply it. Hydrogen, by contrast, is very easily produced, using several different chemical processes, so hydrogen is much easier to obtain and much more cost-effective. It is also lighter than helium and can provide a greater lift advantage. Historically, more weather balloons have used hydrogen, for these reasons, and have developed safety guards to try to prevent combustion accident. Methane is not preferred because it is also explosive and is frequently mixed with other materials when it is mined, which greatly diminishes its lift advantage. Only naturally-mined, pure methane could work and is not a practical or cost-effective option, especially when considering the safety hazards. Hot air can be used as well and is the basis for hot-air balloons since the density of air decreases when it is heated and thus can generate lift. You then need a constant fuel source to heat the air inside the balloon, and for unmanned weather balloons this creates too many variables.