A metal is oxidised when it reacts with oxygen to form a metal oxide. In the process its atoms lose electrons and form positive ions. The more reactive a metal is, the greater its tendency to form positive ions, so the more easily it is oxidised.
This means that resistance to oxidation increases as you go down the reactivity series. Magnesium is high in the series and burns readily in oxygen. Iron is lower, but it still rusts when it is in contact with water and oxygen. Copper is lower still and corrodes only slowly. Gold is very unreactive, so it does not react with oxygen in the air or water. It stays shiny and is found in the Earth's crust as the uncombined element.
Aluminium is an apparent exception. It is a reactive metal, but a thin layer of aluminium oxide forms on its surface and stops the metal underneath reacting any further.