If you have a choice, you have some thinking to do.
Air is compressible. So if you go deep enough, any gauge that is filled with air will eventually collapse. Gear with non-moving parts can be "Potted" by filling up all the internal air space with Wax or Resin to help depth proof the device.
Guages cannot be potted because they have to move, so filling them with a fluid is a good way to depth proof the gauge. Oil helps dampen springy movements while water or alcohol are less viscous.
So why don't we fill all our gauges with a fluid to depth proof them?
Because no closure is perfect. Anyone who has ever put a dive compass in checked luggage knows what I mean. When you put a fluid filled compass in an airplane hold, for some reason, it will almost always emerge with a bubble of air in the compass. And once you have a bubble, you have the worst of both worlds. Now you have a bubble and the possibility of compression, and you have a visual obstruction in your gauge.
So, when I'm confronted with a choice, I would choose fluid filled gauges and potted electronics if I were going very deep. If not, I would avoid the complexity and expense and go with air filled gauges (and a fluid filled compass.)
