I've used or tried to use both on various things.
Basically, I have found the #12 shot in the .22 LR ammo to be a waste of money. The patterens fall apart quickly, and it doesn't penetrate much.
The .22 Rimfire Magnum, however is alot better. Some of the #11 pellets will penetrate through both sides of an alumnium beer can, for instance. Killed a Side Winder with that load once. At 15-20 ft., it anchored him on the spot. E