I've mention in a previous post how poorly magic and physics mix. That being said, there are many variations on how magic works depending on what fiction you're referring to. In most fictions I've seen, practicing magic tends to simply require a lot of mental focus and memorizing a few words. This concept is entirely impossible in the real world if the fundamental laws of physics hold true. Energy can't be created or destroyed, simply changed. Magic tends to make things move with no physical cause, thus making it impossible.
Some fictions, however, take a more plausible route. I've read a few books where in fact it takes just as much energy to do something with magic as it would to get up and do it yourself--thus making the only major convenience of magic that you can do things faster. In this theory, you could attempt to do something with magic and end up essentially committing suicide because you tried to do something that you simply don't have enough strength to do.
By far this is the most plausible theory I've ever heard. For one it doesn't mess quite so much with our laws of physics. Energy created by your body is still being used to make something happen, thus energy is still conserved. This means that essentially the magic wielder is using their mind to direct energy in less-than-conventional ways.
True, it's still pretty far-fetched. Maybe I'm a hopeless romantic, but I'd still like to think it's possible. As it stands, humans on average only use 10% of their brain for sitting and thinking, who knows what'd be possible if we could find a way to have constant access to the other 90%, no matter what the activity!