You'll be looking at how well the form of Mg is absorbed, potential benefits of the molecule Mg is attached to, as well as cost.
The following are reasonably well absorbed or otherwise useful.
Mg citrate. citrate is involved in making energy and is an antioxidant.
Mg glycinate. This form is well tolerated by sensitive people and the glycine might add an additional calming effect.
Epsom Salt is Mg sulfate. This can also be calming since sulfate is involved in breakdown of a number of brain chemicals involved in focus, motivation, etc.