The gas has to be lighter than the atmosphere of the target planet. For planets with very thin atmospheres or planets with mostly-hydrogen atmospheres, that is hard to achieve. That leaves basically Venus and maybe Titan?
(Side note: balloons have actually been used on Venus already, on the Vega missions!)
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..