Mag Wheels, or "Mags", are technically speaking wheels made from magnesium, typically for racing purposes. As magnesium is known for catching on fire and being nigh-impossible to extinguish once it begins burning. These wheels have fat spokes rather than the skinny ones as you would find on a bicycle, typically four to six of them.
The term has expanded to cover any kind of wheel made of a metal or alloy, usually aluminum in whole or in part, which is cast and milled or forged rather than being stamped out of steel and welded as the basic wheels for cars are today. Those wheels are known as steel wheels.
Mag wheels are desirable because of their (potentially) light weight and extreme strength. Other wheels might be as strong when a crushing force is applied, but a sideways or shearing force is always best handled by a mag wheel.