I'm not sure how one actually calculates Magic Penetration.
So.. For example: 
gives you 15 AP and 
gives you 15 Magic Pen
Does it mean that going two (30 AP with less money) is much better than going (without considering the movement speed)?
Magic Pen = AP? I need advice :)
GroundRuleDouble4 votesMagic Resist is calculated like this:
If you have 50 Magic Resist you will receive 33% less damage (50/(100+50)=.33 If you have 100 Magic Resist, you will receive 50% less damage (100/(100+100)=.50 If you have 200 Magic Resist, you will receive 67% less damage (200/(100+200)=.67
So the formula is MagicResist / (100 + MagicResist) = Damage reduction
The way Magic Pen is taken into this is by taking the Magic Resist and subtracting the Magic Pen.
For example, if your opponent has 100 Magic Resist, and you have Sorc Shoes (+15 Magic Pen), they will only be taking 46% damage reduction from you instead of the 50% that it would be without the Sorc Shoes
Their Magic Resist is 100 minus 15 (for the Magic Pen from Sorc Shes) = 85.
Then you throw 85 into the calculator.
85/(100+85)=46% damage reduction.
Make sense?
Major Sparkles1 votesThis hurts my discalculia.
TehNACHO3 votesOkay so the simplified rule is that high ratios to base power, you generally want to build a lot of AP. If you have high base powers to your ratios, you generally want magic pen.
BlazinHot61 votes[deleted]
GroundRuleDouble2 votesIts more complicated than that. Both armor and magic resist are not linear (if the equations used are in fact linear, they have constraints and do not have a nice round coefficient) relationships to the percent of damage mitigated from their use. Ive tried to find an in-depth article in the past about it but was unsuccessful. If someone else can post a link, that would be really cool.
So the first 100 armor/magic resist you get only mitigates around 50% of that damage type. The next 100 armor/magic resist gets you to around 70-75% damage mitigation. its really diminished returns after that.
To answer your question more thoroughly, in the early/mid game armor and magic penetration do more damage than straight AD and AP. And that will hold true for most squishy targets for most of the game. Since you are asking about magic damage, you also have to look at the AP ratios for your abilities.
This is what makes the item builds in this game so fun and deep, there is a LOT to consider.
There returns are not diminished. It seems that way, but it's not.
Effective health is how much damage of a type is done to you to kill you.
This is the equation for effective health:
Effective Health = MaxHealth x ((100 + Armor or Magic Resist) / 100)
So if you have 1000 heath and no armor (magic resist works the same way)
Effective Health = 1000 x ((100+0) / 100) = 1000
With no armor and 1000 health, you need 1000 physical damage dealt to kill you (which make since, since you don't have any damage reduction).
Now, let's do 1000 health with 50 armor.
Effective Health = 1000 x ((100 + 50) / 100) = 1500
That means that you need 1500 physical damage dealt to you to kill you
1000 health with 100 armor
Effective Health = 1000 x ((100 + 100) / 100) = 2000
That means you need 2000 physical damage dealt to kill you
1000 health with 150 armor
Effective Heath = 1000 x ((100 + 150) / 100) = 2500
This means you need 2500 physical damage dealt to kill you.
What all this means is that for every 1 point in armor or MR you have, you need 1% more damage to kill you.
Magic and Armor Pen work simply by subtracting the Armor and Magic Resist from these formulas. Basically, choosing between AP and Magic Pen all depend on the particular situation...but these formulas can help you decide which one is better tat the time.
FeedFed1 votesThank you guys all for the helpful informations! Now I know better how to manage AP and Magic Pen :)
Howldoom1 votesI agree with TehNACHO:
If your damage abilities have low base damages but high ratios (e.g. 100 (+60/70% or more AP), stacking raw AP is more efficient.
If your abilities have high base damages but LOW ratios (e.g. 500 (+40/50% or less AP), then building AP is less efficient, since less of it will translate into ability damage. Magic penetration bypasses flat MR, and thus increases the damage you do with your abilities.
BD Wilton1 votesIt depends entirely on your AP ratios. Stacking Dorans is silly though.
GroundRuleDouble1 votesStacking Dorans makes sense as first two items sometimes because of the passive. Many 
LeBlancs do this.
However, to echo what everyone else is saying, it's not simply about the ratios. You also need to look at your opposing team to decide what is more beneficial...especially when taking into consideration things like
Void Staff (percent Magic Pen) and 
Abyssal Scepter (Magic Resist reduction).