Here ya go, a good article comparing the two.
17HMR and .22WMR compared, by Chuck Hawks
Keep in mind they list velocities for the 17 at 2550 for the 17 grn and 2375 or so for the 20 grn. However in most rifles they actually shoot closer to 2650 for the 17 grn and around 2500 I think for the 20 grn. They under rate them compared to what they actually chrono out of most rifles.
And actually a 17 is better in the wind at longer ranges than a .22 mag is. When I put it in a ballistics calculator for your average 40 grn 22 mag round it shows it being off around 25 inches at 200 yards with a 10 mile an hour cross wind and dropping 21 inches with a 100 yards sight in. The 17 HMR is off by 14 inches at the same distance and only drops 7.5 inches.
Also out to 175 yards the HMR has slighty more energy than the .22 mag, but the .22 has slightly more momentum. However the 17 has the better bullet design. I think if you compared the 17 to the newer 30 grn TNT rounds for the .22 mag though it would be much closer. I might do it for the heck of it if I can find some real velocities for them.
There is really no comparison to the .17HMR and the 22LR, even the hyper velocity rounds. I shot my 17 against several different 22 rounds from target loads to the fastest stuff I could find (shot like crap!). The .17 blows it away in every department except the 22lr is quieter. I fired all the ammo at 50,75 and 100 yards and checked for drop and accuracy. With the .22 ammo I fired two 3 round groups at each range with each brand of ammo. With the 17 I just fired three rounds at each distance at the same target.
The best .22 ammo I shot was the CCI Velicitors for all around accuracy and flatness. I think they were 4 or 5 inches low at 100 yards and shot all six rounds into about a 1 inch group at at the same distance (50 yards sight in for the .22's). A few others were just as accurate, one a bit better, but with considerably more drop.
The 17 put all nine rounds, 3 from 50, 3 from 75 and three from 100 in a hole a dime could cover. That is accurate and flat!
I will admit that beyond 50 yards the wind plays heck on the little 17. However according to the numbers it is better than a .22 or a .22 mag.
The nice thing about the 17's is they are pretty accurate right of the box in almost any gun you buy. I'm not saying the .22 mag can't be, but it's the norm for the 17 to shoot 1 inch or better groups at 100 yards out of the box with a 200 dollar marlin or savage rifle and a decent scope. While a .22 mag can do it, I think it's more an exception rather than the norm, at least from what I read on the internet.
Here two more links for you if you want to know enough info about the 17HMR to make your head explode
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Rimfirecentral
Varmint Al's
I will admit I don't nor have I ever owned a .22 mag rifle. I did own an AMT automag in .22WMR and a Ruger Single six convertable, but they don't really apply to this. I have a few friends that own .22 mag rifles though.
I own a Savage heavy barrel 17HMR with an Alaskan Guide 6.5-20x44 A/0 scope. I'm pretty happy with it. And the newer Savages come with the Accutrigger, which is nice considering the triggers pretty much blow out of the box. What do you want for 200 bucks though.
Good luck,
Paul