Despite being by far one of the country's top tourist destinations, Magdalena has some serious problems. Narco-traffickers, paramilitaries, and even FARC militants are present in the area, most notoriously in the Sierra Madre mountains, but attacks on civilians do occur in the cities, where business owners are routinely forced to pay extortion money to the paramilitaries. Less exotic crimes-of-opportunity, such as backpacker muggings on forest trails, are nonetheless a more realistic concern to travelers. As a rule, foreign governments advise against travel in the countryside, especially into the mountains and this very much does include the nevertheless-popular trek to Ciudad Perdida. The main roads are well policed, though, so you should rest easy traveling along the coast, or down the road towards Aracataca and Fundación.
If riding a motorcycle, there is one weird problem to be wary of along the main coastal road to the west of Ciénaga--beggars/bandits pulling a rope across the road, forcing motorcyclists to either stop and pay up, or be sent flying. Motorcyclists should a) reconsider whether motorcycle travel is a great idea in Colombia, and b) ride alongside a large vehicle, such as a truck or inter-city bus, which will force the kids to drop their rope.