A clarification: technically, filling a balloon with a lighter gas is actually pretty easy: the pressure inside the balloon is almost the same as that outside (if the balloon is made of a non-stretchy material like mylar that doesn't compress the air), so all you need to have the inside be lighter is to use a less dense gas. Mars atmosphere is mostly CO2, so even nitrogen could work as a lifting gas.
The problem of course is that while it's easy to use a gas that's less dense than Mars' atmosphere, it can't be very much less dense because you're starting from a very low density. So, you'd need a huge volume in order to lift anything substantial.
edit: looks like a sibling comment said the same thing first..