Step 1: Recall the reaction of metals with oxygen. Metals react with oxygen upon burning to form metal oxides.
Step 2: Write the balanced chemical equation. Magnesium (Mg) burns in oxygen (\(O_2\)) to produce magnesium oxide (MgO):
\[
2Mg(s) + O_2(g) \xrightarrow{\Delta} 2MgO(s)
\]
Step 3: Identify the product from the options. The product of this reaction is magnesium oxide.