Less dense than air, to be slightly pedantic. Helium has a molecular mass of 4, air of (roughly) 28.8, and the densities of gases are approximately proportional to the molecular masses. In principle, any less dense gas will do to float a balloon (even pure nitrogen, although the atmosphere is about 80 per cent nitrogen), but the great advantage of helium is the huge difference between the two densities, which translates into the ability to get "dead" weight such as the airship's structural components, crew and cargo off the ground.