Disney's Magical Express (DME) is two things: free round-trip bus transportation between the airport and your Disney owned-and-operated resort, and free luggage delivery service from the airport to your resort room. You get special tags for the luggage, that you put on before you leave home. Once you check those bags at your home airport, you won't see them again until they "magically appear" inside your resort room a few hours after your plane lands. When your plane lands in Orlando, you skip baggage claim and go right to the DME Welcome Center to check in and then be told which line to get into for your bus to your resort. Each bus stops at up to 4 resorts. The buses don't leave at any set time, and also they don't wait around until the bus is full. According to a CM who posts here regularly, the reported average time from arrival at MCO to arrival at resort is 75 minutes.
People who fly a select group of airlines (called "participating airlines") also get another perk for their return from the resort to the airport at the end of their vacation. They get to actually check their luggage in at their resort lobby (and also get their boarding passes printed for them) and then they won't see that luggage again until it's on their home airport's baggage claim carousel. For those of us who aren't on a participating airline, we simply take our luggage to the bus with us, the driver loads it underneath, and we get it back when we arrive at the airport.
DME will be free at least until the end of 2006. Disney and MCO recently agreed to have DME continue through at least 2011, but there has not yet been any announcement from Disney if DME will continue to be free. There are a lot of theories and rumors flying around here (regarding whether or not there will be a charge for DME starting in 2007, and if so how much that charge would be), but the hard fact is that no one knows for sure because Disney hasn't yet actually announced ANYTHING on that subject one way or another.