There is an article that explains the .22 magnum in much better detail than I can in Rifle magazine this month.
From my point of view, the .22 WMR is infinitely more pleasant to shoot than the .223. I don't consider the .223 a plinker, but the .22 WM could be.
The .22lr is an infintely better plinker than the .22 WMR, because of both the comfort and cost factors.
So, we're back to: Why the .22 WMR?
My favorite answer is "Squirrels!"... The .22 magnum is a much better squirrel gun than any .22lr. .22 mag will drop a squirrel (or similar small mammal (rabbit, hedgehog, raccoon, oppossum, skunk, etc, etc..) more reliably than the .22 at much greater ranges. The .22 mag is a very useful round for pest and varmint control. Shooting at night doesn't raise as much racket as the .223 and follow shots are much quicker, because there is virtually no kick.
I really like the round, myself. I don't think it replaces either the .22lr or the .223, but it really fills the space in between perfectly, IMHO.
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-Essayons