Instead of downloading the .torrent file from a webserver, you download it directly from a seed/leecher. The biggest advantage is that you might be able to download the content of the torrent, even if the tracker is down or closed for registration. The download speed will have nothing to with which link you use, only the seeds and leecher.
Good question by the way. I've wondered the same thing my self
-Back Dorky :-D
When u press a magnet link it starts the download from ur torrent client without having to download the .torrent files. Read the links below for better description.