Hi Matt.
Advantages of having an air pump will create agitation at the waters surface, creating oxygen. I've heard it doesn't directly put oxygen in the water, but like I said the agitation at the surface certainly will!
Downside is they can be noisy and it's an extra electric socket being used up around the tank.
You'll need the pump it's self, some air tubing and an airstone. Plus some form of clips pending how you want it setting up.
It's mainly down to personal choice wether people have them in their tank, as most of the time the filters will create the oxygen. They don't really take my fancy, but when used in a certain way they can make a tank look quite... proffesional? Special? something like that.
James.