More importantly, magnesium is a very strong Lewis acid and as such, is not inert to all functional groups. For example, epoxides are sensitive to magnesium. Sodium Sulfate is the most widely used drying agent. Sodium sulfate has the advantage in that it is less reactive and in granular form, is very easy to remove from liquids. The liquid can often be decanted off the drying agent without filtration.
Calcium sulfate is known by the trade name drierite.
Calcium sulfate has a low capacity, but it is very complete and rapid. This means that you will have to use more of it to dry a solution. Calcium sulfate can be purchased in a chunky form. This form is very convenient to work with. It is also used as a drying agent in dessicators and to dry the air entering a water sensitive reaction.