Any gas that is heavier than air, such as xenon or sulphur hexaflouride, makes the human voice sound deep. The reason why helium gas makes voices sound high is that it is lighter than air and because sound travels faster through it than in air.
When sound waves are traveling faster up through the vocal tract, they give the illusion of being higher pitched. It is similar to how sped-up recordings sound squeaky when in fact they were recorded at a normal pitch. Heavy gases produce the opposite effect because sound travels much more slowly through them. Xenon and sulphur hexaflouride are common gases used to demonstrate this effect because they are relatively inert and harmless. Other heavy gases may be toxic, and any non-air gas can cause suffocation when inhaled in excess.