As you know, magnesium is bound to another element. They are not the same and can have different actions within the body.
Mag oxide is widely used but not recommended due to its poor absorption and utilization. UltraMag from Source Naturals uses a multi blend that is sort of a shot gun approach, as mentioned previously Mag lysinate and mag chelate are good choices.
I have not heard many good stories about citrates , malates or gluconates. I think that mag chloride can be tolerable for some but I do not think it is for everyone.
Vitamin D levels should be checked since it works synergistically with mag. Also note that calcium is both antagonistic and agonist in that high levels will reduce the cal/mag ratio and low levels can create mag loss. Dr. Mildred Seelig was probably the foremost authority on magnesium and has published works online.
Using tissue analysis can help pinpoint the levels of all critical nutrients.