Hydrocarbons (such as Butane or BHO) and Ethanol are cheap solvents, that can degrade terpenes, nutraceuticals, and extract non-desirable components that require a great deal more post-processing. Both are highly flammable and explosive. So much, that specially designed blast rooms are required for code, and are outlawed in some areas. BHO specifically, can leave residues, which if are not properly removed during distillation, can result in nose-burn or heart aches (Google - butane in the bloodstream or dangers of butane ingestion for more info). If not properly processed, BHO only has a shelf-life of a few weeks.
CO2 is one of the preferred solvents for botanical extraction, which can better target oil (minimize wax and other undesirable extractions which need to be post-processed removed). It has a relatively unlimited shelf life if properly prepared. With proper extraction technique, CO2 can preserve both terpenes and nutraceuticals.