There are several reasons to want to add an optic to your paintball marker. They can aid in aiming, and in the case of a magnifying scope, can even help you check ahead for an ambush. They're also a must for any MilSim marker. One of the most important factors in selecting your optic is picking a scope that has a large lens or viewing area, because the larger the area it has, the easier it will be to find and sight in your target.
See below for a discussion of the types of paintball sights
Most sights work on the principle of lining up part of the scope near the rear with another part of the scope near the front of your marker. Iron sights, sometimes called open sights, are the stock sights usually built into real firearms. Some markers come with this kind of a sight, frequently with the ability to fold them down and flip them up.
Closed sights, sometimes referred to as a peep sight, are sights that don't have an open top. These can be slightly less intuitive than an open sight, but can allow for faster sighting.
Red dot sights, sometimes called reflex or holographic sights, project a red dot or other reticle to show you where your shot will hit. These can be especially useful for paintball, because they eliminate the need to line up different parts of the sight. Red dot sights are especially effective in low light, but for more versatility, you can get a red & green dot sight. The green dots tend to be more powerful and work better during the daytime, though in woodsball sometimes the green can blend in with your surroundings, so both is better.
Telescopic scopes offer magnification, and are usually what people think of when talking about a sniper scope. These sights frequently have crosshairs or a reticle built into them. Especially when using a paintball mask, a scope can be difficult to use. However, for a die hard MilSim sniper, especially one using First Strike marker, you can still get an approximation of sniping.
Laser sights are a bit different. They function the same as a laser pointer, and paint a red dot on the target. These show you where your ball would hit if it traveled flat. They can be a little less than ideal for paintball because paintballs fall much faster than a bullet, so the place where the laser hits isn't necessarily where the shot will go. They can also give away your position. They can be a lot of fun, and allow for a style of from-the-hip play that can be exhilerating.