A fairly comprehensive study done by the Swedish Navy indicated there was no measureable difference between air and argon.
Here are just a few paragraphs from the study:
Thermal Insulation Properties of Argon Used as a Dry Suit Inflation Gas
J Risberg and A Hope
Thermal Insulation Properties of Argon Used as a Dry Suit Inflation Gas.
Undersea Hyper Med 2001;28(3):137-143
"Uncontrolled observations from the "technical" diving community claim superior thermal comfort when replacing air with argon as dry suit inflation gas during diving.
The objective of the present experiment was to evaluate the effectiveness of argon compared to air during cold water diving. Body weight, urinary output, and rectal and skin temperatures were measured in six naval divers during two dives to 10 m for 60 minutes.
Level of thermal comfort was reported. Dry suit gas was either argon or air, divers and scientists were blinded for gas identity.
Urinary output was 200 ml less (P<0.05) during the air than the argon dives. Rectal and skin temperature decreased significantly in both groups during the dive but no difference was measured between argon and air dives. Thermal comfort was not different between the groups. Replacing air with argon neither improves subjective impression of thermal comfort nor attenuates core or skin cooling during cold water diving to 10 meters of sea water for 60 minutes.
As far as we know, the theoretical benefit and subjective experience with argon have previously not been challenged by blinded tests. Having a density of 25% higher than air, technical divers claim to hear and feel the difference in suit inflation rate. Blinding may thus be difficult for divers having used argon previously. There is a possibility that the superior thermal comfort is anticipated rather than real. Second, many divers use an Ar-CO2 blend commercially available as welding shield gas. The added CO2 may theoretically form carbonic acid (H2CO3) at skin surface moistened with sweat or water. One may speculate whether this weak acid (pKa=6.4) may irritate the skin sufficiently to cause a sensation of thermal comfort.
The results of this study indicate a lack of positive thermal effects in operational diving, forcing us to recommend air as dry suit inflation gas for military diving and probably also in recreational (technical) diving.
http://www.scubadiving.com/talk/read.php?f=1&i=512833&t=512833
It's an entirely different story when compared to helium though.