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Fluids are incompressible, relatively speaking, hence the pressure applied through the system is directly transmitted to the object which you want to lift. If you used a gas, you would waste a lot of energy compression the gas-hence the system would be inefficient.

There's another reason. Hydraulic systems using gases instead of liquids can be very efficient indeed--witness the brakes on a big truck. They are ALL specifically, air--powered, and they work very well. The compressor in a gas system doesn't enter into efficiency calculations because in a liquid system, with the exception of something like car brakes, there's a pump. And in some cases you can't use a liquid hydraulic system. On a big printing press, there are a lot of compressed roller lifters because no one wants a book that has hydraulic fluid spattered on the pages, and if your press springs a leak in the roller lifters that is what will happen.

The biggest advantage a liquid hydraulic system has is the nearly complete lack of lag. In a fluid power (the industrial term for a hydraulic system using liquid fluids) system, the whole system is charged with fluid. When you press against the fluid at one end, or pump some more in depending on what the system is, the force is instantaneously transferred to the thing you are attempting to move. OTOH, in an air system you've got to fill the lines with air before anything moves. (This is another reason why you shouldn't cut off semis on the interstate-at 55mph the truck has no brakes for 32 feet after the driver steps on the pedal.)

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