SpudFiles

Check out the rifle on this video:

What do you call that thing with the pressure gauge, People seem to call it a pressure regulator/scuba tank regulator. When I search it on Google, it comes up with the regulator that is used in that breathing apparatus.

Yes that is a pressure regulator w/gauge. They are built in a lot of different configurations to work in a lot of different applications. They range in price greatly so know what pressures you're working with before you buy to avoid building delays.

I just found out it's used with co2, not HPA. So it's not used in scuba tanks.
How much do they go for?

Google it, it's a wide range of pricing. What I use for my airbrushes cost me $16.95 from TCP Global / Airbrush Depot and is good for 175 PSI to 0 and has a built in moisture trap.