Magnesium oxide tends to be less readily absorbed into bodily tissues than other forms--it tends to get dumped into the intestines much faster, and therefore can have quite the laxative effect. Of course, some people use it precisely for that reason.

In terms of getting magnesium into the nervous system, it likely better to have it compounded it a more complex molecule, such as a malate or chelate, that is absorbed more slowly. These still may tend to have a laxative effect, but not as much (and these also tend to be a little more expensive than oxide).