When we download stuff using torrents, we first download a *.torrent file and run it with our bittorrent client. The torrent file contains information that leads to the download.

Magnet Links are such that, when clicked on, start your default torrent client and start off with the download immediately, without the *.torrent file.

It saves time(hardly a minute though), and well, wont clutter your disk with stupid files worth no more than a few KBs.