.22 Mag is special. Except for price, which is about three times as much as a .22 LR (but 1/3rd to 1/2 the price of .223), it basically offers all the features and benefits with twice the power.
A .22 Mag has the same velocity at 100 yards as a .22 LR at the muzzle. If you just want to poke holes in things up to 50 yards, .22 LR. Want it to do something significant up to and beyond that? The .22 Mag is a 125 yard rifle cartridge because the flat bullets drop off precipitously from that point.
Small, powerful (as a .44 Spcl. handgun), accurate, quiet. Relatively inexpensive. Reliable except the long powerful rimfire can have extraction problems in auto-loaders so are not generally recommended where fast follow-ups are critical.
Henry also makes .22 Mag pump-action. My truck gun is a customized .22 Mag. pump.
One more thing -- the .22 Mag is a real bullet. By that I mean a jacket (sometimes Jacketed Hollow Points, Jacketed Soft Points, or Full Metal Jackets) around a lead core.