Transport and thermodynamic properties of a sintered pellet of the newly discovered \(MgB_2\) superconductor have been measured to determine the characteristic critical magnetic fields and critical current densities. Both resistive transition and magnetization data give similar values of the upper critical field, \(H_{c2}\), with magnetization data giving \(dH_{c2}/dT=0.44~T/K\) at the transition temperature of \(T_c=40.2 K\). Close to the transition temperature, magnetization curves are thermodynamically reversible, but at low temperatures the trapped flux can be on the order of one Tesla. The value of \(dH_c/dT\) at \(T_c\) is estimated to be about \(12~mT/K\), a value similar to classical superconductors like Sn. Hence, the Ginsburg-Landau parameter \(\kappa \sim 26\). Estimates of the critical supercurrent density, \(J_c\), using hysteresis loops and the Bean model give critical current densities on the order of \(10^5~A/cm^2\). Hence the supercurrent coupling through the grain boundaries is comparable to intermetallics like \(Nb_3Sn\).