I was thinking of industrial and/or construction applications, not artistic. This being the case, I've got nothing to add to what welder-guy said right below.
Giovanni
Cold rolled is shiny and smooth and the cold working will have hardened it some. Thus the discoloration from the welding heat is quite apparent and any further cold working is more difficult because of the hardness. On the other hand if you intend to polish the work it starts out smooth so you have less work to do.
Hot rolled surface is black oxide (the "black" in blacksmith) the surface has texture and the material is a little softer. Welding won't be as apparent, cold working is easier and hot working, if you go in that direction will leave a similar surface. Polishing of course is more difficult but selectively polishing small areas can leave a nice effect.
The difference in weldability for this purpose is insignificant.
You are the artist- get some of each- play around- develop your own style.
Machinists and fabricators will often let you pick over their scrap for nominal or no fee.
Bill
I build large sculpture full time and don't have great welding skills so I understand your predicament. The gauge of the metal is more important for most of what I build. I usually use cold rolled because it is easier to come by and 16 gauge is my preference. It can be easily shaped either hot or cold and is thick enough that I don't burn through it very often. I also love 1/4" and 3/8" round. Again, easy to bend.
You might check out the International Sculpture Center for great pictures of steel sculpture. They also have a web forum, but the AWS forum is much better for technical advice and you don't have to read through all that art angsting discussion. The AWS guys have forgotten more about welding than I will ever learn. Good luck!
Artgirl