argon & helium are the noble gases; carbon dioxide, oxygen, nitrogen and hydrogen are reactive gases that may be blended with the noble gases for shielding gases or carbon dioxide used alone as shielding. There is a potential of over 900 combinations of blends with the listed six gases. Some a bi-mix, tri-mix, quad mix or even quint mixes. Neon would provide a colorful arc, radon might glow on its own, krypton (Superman Welders might have a problem) & xenon may be just a bit too expensive.

Cost.

Argon is a byproduct of air separation, so there are sources across the fruited plain.

Although helium is the second most abundant element in the universe, most of it in the Earth's atmosphere bleeds off into space. Helium used for industrial purposes is a byproduct of natural gas production, and the Texas Panhandle is the United States' helium capital. In the natural gas fields near Amarillo, the U.S. government maintains the country's largest helium storehouse. The government put it there back in 1925 because natural gas produced at the gas fields between Amarillo and Hugoton, Kan., has a very high helium concentration—up to 1.9 percent.

http://www.popularmechanics.com/science/health/a4046/why-is-there-a-helium-shortage-10031229/

So yeah... Cost  :)

I asked the LWS about that one time... It was over $100 for a paintball sized tank of any other noble gasses
Neon might have been a little cheaper, I think I only asked about Kr or Xe...