They are superconducting magnets kept that way through cryogenic helium. They can lose their magnetism through a process called quenching. If you search on youtube for "MRI quench" there are several videos of people messing around with MRI's before they get decommissioned. Not exactly safe.

http://www.youtube.com/watch?v=5z33ZcDgavY

http://www.youtube.com/watch?v=6BBx8BwLhqg

There is a lot of helium in there and it can explode:

http://www.youtube.com/watch?v=1R7KsfosV-o