Chiming in late...
If 99% of your shooting is going to be plinking, I could not justify the extra price for magnun rounds. The cheapest magnum rimfires around here are the PMC's for 22mag at $5.99 per 50. That is CHEAP in the magnum rimfire world, but still $0.12 per round for fairly innaccurate "plinking" ammo.
For a 22lr, I can still buy boxes for 550rnds for $9.86 locally. That is about 1.8 cents per round...or 1/6th the price of the cheap 22mag ammo. You'll get a LOT more trigger time and have a lot more fun with the 22lr plinking. I spend a LOT of time plinking with my 22's in the 50-100yd range. At 100+ it can be a real chore to accurately hit your targets--but it's still a lot of fun....and learning the ballistics and how to counter for wind will teach you a LOT that will translate to the bigger stuff as well.
I have more rifles in 22lr than any other round--and I shoot about 10x as many rounds through them as all the others. It's a great way to practice and have fun.
That being said...I LOVE my .17HMR and .22MAG.
Much more accurate and much easier to shoot at 100+ yards. Much flatter shooting and and higher quality ammo makes target shooting and longer range shots easier. I have no problem paying $8-12 per box for either of these magnums because they peform very well at longer distances....they're also quite a bit more effective on small game. Those V-max and TNT bullets are great on small game, water jugs, pop cans, etc.
As some of the others have eluded to...I use my 22lr's for plinking, practice, and just general fun--but the .22mag is the one that finds its way out in the field with me. The ability to take longer shots and having premium bullets makes a HUGE difference when you're out chasing small game.
The HMR is fun, but is a bit more expensive and not as great on the larger small game IMHO.
If I had to choose only one mag, it'd be the .22mag.
In the end, even $8-10 per box of 50 is still cheaper than 98% of the factory centerfire stuff out there...so if you don't reload, but want accuracy to 100-150yds, the 17/22mag is still pretty cheap to shoot.