Actually, on Mars it's relatively easy to have a gas be lighter than the atmosphere; the atmosphere is mostly CO2, so most common gases, including nitrogen, are

Actually, on Mars it's relatively easy to have a gas be lighter than the atmosphere; the atmosphere is mostly CO2, so most common gases, including nitrogen, are lighter than it. The problem is that since the air is very thin, you don't get much lift for a given volume. So for Mars you need a very big balloon, but it can be filled with almost anything. (Side note: balloons have actually been used on Venus already, on the Vega missions!)