How do air pressure regulators work?
A regulator is very much like a transformer. It takes high pressure gas, and regulates its conversion to low pressure gas. When you wind the regulator up (i.e. clockwise turns) you push on a spring, which usually pushes on a poppet valve, which had previously made a seal, allowing egress of gas.
There are all sorts of regulators for specialist purposes. Nitrogen and oxygen regulators are different, and have different fittings. These are precision instruments, and in the laboratory they are probably treated with less respect than they deserve.
Interestingly, some gas bottles have left-handed threads (i.e. you can't use a normally threaded regulator). Before you use a gas regulator (and gas bottles under pressure) get someone competent (a welder perhaps?, though maybe they have become too complacent and blase)) to show you what to do. Large gas cylinders should always be tied to a special cylinder bracket (before you attach the regulator) to prevent the cylinder (and the regulator) falling over, which could be disastrous.