The .22 mag will be a better round for farther distances and/or larger game such as coyotes etc.... Both the .17, .22lr, and .22 wmr will dispatch larger game such as deer if you do your part right. However, with some of the newer .22lr loads such as the velociter you're really getting an awesome round that falls somewhere in between a varmit round and a small game round.
Personally I try for head shots all the time. Firstly, it's more humane for the animal and it put them down quickly. Secondly, it doesn't damage the meat.
Peace
Jerry