Depends on the animal and the bullet.
I've known some shooters who tried the .17 HMR with hollow-points (probably because they cost less than plastic-tips) on prairie dogs and were less than satisfied, but hollow-points don't expand nearly as violently as plastic-tips. They do, however, penetrate deeper on larger varmints.
I would rather shoot ground squirrels and prairie dogs with a .17 HMR than a .22 Magnum, because in general .17 HMR's are more accurate, shoot flatter, and drift less in the wind. I would rather shoot jackrabbits with a .22 Magnum, because its heavier bullets penetrate better, and accuracy isn't as critical. But either cartridge will do the job on either prairie dogs or jackrabbits.
It's kind of like arguing over whether to use the .25-06 or .30-06 on big game. Both will do the job, though one might work better than the other in certain circumstances.
