Get both! They are two totally different rounds, IMO. Kind of like the difference between the 22-250 and the .308. One is light and fast, the other is kind of right between fast and slow.
The .17 HMR is not for anything bigger than small game, period. I'd shoot P-dogs, crows, squirrels, etc out to 200-250 yards with the .17 HMR. Chucks and stuff, I'd say within 125yds, and I've read about some guys using them for foxes out to 100yds or so.
I would use the .22 Mag on coyotoes, turkeys (where legal), bobcats out to 100-125 yds or so and not think twice about it. Possum, raccoon, fox and other stuff like that out to 150 yds or a bit more. Here's the caveat: I'd only do it with the 40gr HP/JSP stuff from CCi or Winchester. The lighter loads open up too fast and don't penetrate enough.
Of course, all of the above is assuming that you have a rifle that's accurate enough to let you take shots at those ranges. And that you can shoot well enough to take advantage of it.
The Marlin 917V I just picked up a couple of weeks ago will let me do it. Best group at 50yds so far was around .20" and the worst so far as been .65", with the V-Max load. Straight out of the box, no tweaking. I was busting pop cans at 125yds offhand with this rifle earlier this week. My best offhand shooting EVER.
I had the same story with the last Marlin .22 Mag I had, an 83T (before the 900 series came out). If would shoot the CCi 30gr TNT into around .6" at 50 yards, and the CCi 40gr and Winchester 40gr shot almost as well. I need to pick up another one in the very near future.
After a hiatus of several years, I'm going back to the rimfire fun full force. With increased ammo costs, reduced shooting areas and time, rimfires are looking better every minute.
Another plus to the .17 HMR is the fact that it's trajectory at 200 yards from a 100yd zero is very similar to the popular "magnum" blackpowder loads that a lot of people use in their ML'ers today. You can practice with less recoil, less noise, and less cost, yet still use 200 yd field holds on your target similar to what you'd use for your deer hunting