To initiate wider discussion about promising research directions, this paper highlights a number of challenges in the development of rechargeable Mg batteries, especially those related to the slow solid-state Mg diffusion in common hosts. With a focus on the intercalation mechanism, we compare for the first time different strategies proposed in the literature for developing Mg battery cathodes, like the use of (i) nanoscale cathode materials; (ii) hybrid intercalation compounds containing bound water or other additional anion groups that can presumably screen the charge of the inserted cations, (iii) cluster-containing compounds with efficient attainment of local electroneutrality. This comparative analysis shows that cathodes whose function is based on a combination of the two first strategies, e.g., V2O5 gels and their hybrids, can exhibit relatively high voltage and capacity upon Mg insertion, but their kinetics is insufficiently fast. A proper intercalation mechanism for such materials is still unknow...