There is no question the .22 mag has more juice than the .22lr. I recall reading somewhere that the former has more energy at 100 yards than the latter has at the muzzle. That stated, the .22 mag is louder, and as already noted, it costs more to shoot.[SUP]1[/SUP]
I have often thought that the .22 WMR is a solution looking for a problem. I am not sure there is any one niche that it fills particularly well. But that's just me! Someone else may have found THE perfect application for that cartridge. I consider it to be a .22 on steroids, and use it accordingly.
Having written all this, I would say the .22 WMR is a really fun gun to shoot. In fact, when I take my rimfire guns out for a range day, I find myself spending more trigger time on the .22 WMR, despite the fact that the ammo costs more.
1. As an aside, the judicious reloader can load .223 for around the same cost per shot, or possibly less, than .22 WMR. It hardly needs to be said that the .223 offers a LOT more in terms of range, accuracy, and bullet choice. That said, it also produces a lot more noise per shot.