oh man, where to start......
well, you're right there's mechanical, air and eletric lockers. there's ups and downs to all of them.
an air locker is nice because it's a true open diff while not engaged. good for street driving. they also replace the carrier, so they're pretty stout. down side, very pricy, you have to also buy a air compressor and run air lines to the axles. these air lines can break or leak leaving you with a giant paper weight in your diff.
for the most part, the same set of pros and cons go with an electric locker.
mechanical lockers either repalce the carrier or fit inside the carrier. the ones that fit inside the carrier are called lunchbox lockers and just replace the spider gears. they arent as strong as a locker than would replace the carrier, but they can get the job done. lots of folks on here run them without any issues, i'll be installing one in the rear of my b2. another downside to the lunchbox locker is that they tend to rattle a lot.
i really just brushed the surface here. i'd get on the interwebs and start reading off road magazines if you want to really learn about them