Even wiki has the info:
Like the modern car and most household appliances, the principal disadvantage is the indirect use of energy. Energy is used to compress air, which - in turn - provides the energy to run the motor. Any conversion of energy between forms results in loss. For conventional combustion motor cars, the energy is lost when oil is converted to usable fuel - including drilling, refinement, labor, storage, eventually transportation to the end-user. For compressed-air cars, energy is lost when electrical energy is converted to compressed air.
* When air expands, as it would in the engine, it cools dramatically (Charles law) and must be heated to ambient temperature using a heat exchanger similar to the Intercooler used for internal combustion engines. The heating is necessary in order to obtain a significant fraction of the theoretical energy output. The heat exchanger can be problematic. While it performs a similar task to the Intercooler, the temperature difference between the incoming air and the working gas is smaller. In heating the stored air, the device gets very cold and may ice up in cool, moist climates.
* Refueling the compressed air container using a home or low-end conventional air compressor may take as long as 4 hours though the specialized equipment at service stations may fill the tanks in only 3 minutes.
* Tanks get very hot when filled rapidly. SCUBA tanks are sometimes immersed in water to cool them down when they are being filled. That would not be possible with tanks in a car and thus it would either take a long time to fill the tanks, or they would have to take less than a full charge, since heat drives up the pressure.
* Early tests have demonstrated the limited storage capacity of the tanks; the only published test of a vehicle running on compressed air alone was limited to a range of 7.22 km.<8> * A 2005 study demonstrated that cars running on lithium-ion batteries out-perform both compressed air and fuel cell vehicles more than three-fold at same speeds.<9> MDI has recently claimed that an air car will be able to travel 140 km in urban driving , and have a range of 80 km with a top speed of 110 km/h (68 mph) on highways,<10> when operating on compressed air alone.
http://en.wikipedia.org/wiki/Compressed_air_vehicle