SF6 is known in the utility industry as a dielectric material, but what is meant by that is that it is a material that can withstand high electric fields. Air can withstand electric fields around 30kV/cm, with some variance due to humidity and pollution, and SF6 can withstand 3 times that. Another common dielectric media in the high voltage industry is mineral oil which has a dielectric strength of up to 5 times that of air.
SF6 is mainly used in circuit breakers and gas insulated substations. SF6 permits these devices to be much smaller and lighter. Air insulated high voltage circuit breakers are theoretically possible, but would be massive and would perform differently depending upon weather conditions. Mineral oil circuit breakers were commonly installed before the invention of SF6 breakers, but these devices had to be large and heavy (10-20 times heavier than their SF6 counterparts), and had to contain a lot of heavy flammable oil. These characteristics that I’m describing are for dead tank circuit breakers, which have an outer shell that is grounded. Circuit breakers can also be “live tank” which permits a much lighter design. These are more difficult to maintain and require separate current transformer instruments which add more cost, but are not nearly as much as the difference between a live tank oil breaker and a dead tank oil breaker.
Gas insulated substations have all of the equipment of an air insulated substation but can be built much smaller in areas like cities that don’t have the necessary clearances for an open air station. Something similar to GIS can be done with mineral oil, but the weight, and therefore the necessary structural strength and cost increase by large factors.
In theory, it is possible to start to move away from SF6 technologies and return to mineral oil, but replacement of all of the currently in service SF6 devices would take decades and cost hundreds of millions to billions of dollars. The most cost effective method would be to use live tank oil circuit breakers, which would require less improvements to civil works like foundations and would require the least additional oil containment and fire wall additions. The problem is that this technology is not really being built anymore, as the industry has moved to the more efficient SF6 devices.
If one wanted to go with something new, nitrogen gas insulation is a reasonable alternative, Nitrogen is only a little stronger than air as a dielectric, but if it is in an enclosed tank with high purity, then none of the variances that would occur in open air would need to be accounted for and a reasonably sized design, but still much larger and more expensive than SF6, could be developed.