  We present non-extremal magnetic black string solutions in five-dimensional
gauged supergravity. The conformal infinity is the product of time and S^1xS_h,
where S_h denotes a compact Riemann surface of genus h. The construction is
based on both analytical and numerical techniques. We compute the holographic
stress tensor, the Euclidean action and the conserved charges of the solutions
and show that the latter satisfy a Smarr-type formula. The phase structure is
determined in the canonical ensemble, and it is shown that there is a first
order phase transition from small to large black strings, which disappears
above a certain critical magnetic charge that is obtained numerically. For
another particular value of the magnetic charge, that corresponds to a twisting
of the dual super Yang-Mills theory, the conformal anomalies coming from the
background curvature and those arising from the coupling to external gauge
fields exactly cancel. We also obtain supersymmetric solutions describing waves
propagating on extremal BPS magnetic black strings, and show that they possess
a Siklos-Virasoro reparametrization invariance.
