I have several .22 LRs, but only one .22 WMR (.22 Magnum). Basically, the .22 magnum has twice the velocity and energy of the .22 LR HV, but cost of ammo, especally the CCI V-Max rounds cost about $13 a box, so I don't plink with that caliber.
Recoil is about twice that of the .22 LR, but practically unnoticeable after a few shots. My CZ 455 bolt-action is lighter than most of my .22 LRs and I noticed a difference in both noise and recoil at first, but after a few shots, it's an expected difference and don't even think about it.
It's used for pest control within 125 yards and it does a better job at that than the .22 LR and noise isn't a whole lot more (from a rifle). We have houses on three sides within 400 feet, so don't like to shoot varmints with louder rifles here. It's a great rifle/caliber to carry when on a walk-about down back when I can expect to encounter coyotes, large porkys, skunks, woodchucks and crows within 100 yards. I can also carry at least a hundred rounds of ammo in a plastic Zip-Lock bag in my pocket, should I want to plink a bit.
I have two 5-round mags and a 10. That's a fair amount of firepower for larger varmints like coyotes, should extra shots be needed to anchor a wounded one.