I was initially concerned about running mag wheels on the street because once the coating gets chipped by a stone you've lost protection. I am very impressed with the coating on the Dymags I bought. My opinion is that it's worth the extra money.
Like Old Yella says, it's all about surface preparation. Be mindfull that untreated magnesium corrodes quickly when exposed to moisture in the air. The proper way is to strip them with a special solution etching cleaner, then a special conversion coating, then an application of self-etching primer, then your color choice. Finally, a two part clear coat finish is desireable for added toughness.
Here's an article on powdercoating that may help you to decide.
http://my.execpc.com/~davewrit/Powder.html [Edited on 11-30-2004 by Shazaam!]