A magdash is an exploit in the game known officially by SEGA as "Homing Dash", and otherwise also known as "Magnet Dash" or "The Griddy".
This is performed by doing a homing attack on an object or enemy, and then boosting away from whatever you homing attacked, which will give you more speed than a normal boost.
As a standalone technique, it is primarily used in Cyber Space, as it allows you to skip entire sections of some of the levels when used in the right way.
In the main game, its main use is to start slingshots.