A balloon is any large flexible bag containing a gas. Balloons can be filled with air by blowing them up - as in party balloons - or they can be filled with helium, hydrogen and any other lighter-than-air gas.
Air can be made lighter than its surroundings by heating it, so a common sight in the skies is the hot air balloon.
The first large balloons were filled with hydrogen, but this is a gas which easily catches fire and there were several disasters in the 1930s which led people to use helium instead of hydrogen.