magnesium
it
lights easier
Yes. But this is not necessarily a desireable quality in something that burns at several thousand degrees and that can't be put out with a fire extinguisher. An aluminum-based thermite also burns at several thousand degrees and can't be put out with a fire extinguisher, but it's so difficult to ignite that you can toss it into a wood campfire and it won't burn. Magnesium can be ignited by simple metal-on-metal sparks, which is why it's used for campfire starter strips.
magnesium by itself should be able to burn holes through cars
Possibly. I don't think I've ever seen a pile of magnesium ignited that was bigger than about an inch in diameter, but if you check youtube there are plenty of videos of people lighting it on workbenches and things and it never seems to do much damage. Though I suspect that's an issue of particle size.
you can buy magnesium at walmart
Magnesium strip from wall mart: $6.88 for one tenth of a pound = $68.80/pound, and you have to file/grind/powder it yourself
Pyrotechnic grade aluminum powder $25/pound, ready-made
If you just want to make a pretty little flash, three minutes with a magnesium strip might be easier. But if you want to make something big and awesome, it's cheaper and a lot less work to simply buy aluminum powder. Also, the quality of your thermite will depend very much on the size of your particles. Smaller particles = more surface area available to make contact with oxygen = faster/hotter burn. Those youtube videos showing people igniting magnesium on workbenches for pretty lights but little effect probably are that way because hand-shaved magnesium generates relatively large particles. Even if magnesium burns hotter than aluminum, you're likely to get a much better result with industrially produced aluminum powder than hand-shaved magnesium.
If you really want to use magnesium, want you probably want is
pyrotechnic grade powdered magnesium. The price is similar to that of the aluminum, but you'll have to personally pick it up from their warehouse because they won't ship it.
In any case, I suppose how to best go about it would depend on your goal. If the goal is to have "sciencey fun" then maybe buying ready-made metal powder from a fireworks supplier is cheating.