What does the word mag means as in mag wheels on a car?

Alloy wheels are wheels that are made from an alloy of aluminum or magnesium. Mag wheels are wheels forged from magnesium, they are light and often better looking than standard wheels. Although, many people call any cast or forged wheel that doesn't require trim or hubcaps a "Mag" wheel.
http://wiki.answers.com/Q/What_are_mag_wheels

It's short for magnesium metal alloy:

Mag wheels are a kind of automotive wheel constructed out of magnesium metal alloy. They are popular in racing applications due to their light weight, and their aesthetic qualities make them desirable as aftermarket equipment among car enthusiasts. They are generally recognizable by their symmetrical spokes and high shine.

http://www.wisegeek.org/what-are-mag-wheels.htm