What is unusual about this tradition is that magpies are a species of crow - a type of bird traditionally associated with ill-omen and foreboding. Magpies specifically are regarded as thieves on the basis for their predilection for acquiring shiny objects to adorn their nests - hence the phrase "thieving magpie". It's perhaps notable that magpies are also commemorated in the popular nursery rhyme 'one for sorrow'. There are variations on this song - perhaps the most familiar to today's children is the anodyne in incarnation below:
One for sorrow,Two for joyThree for a girl,And four for a boyFive for silver,Six for gold,Seven's a secret, never told
The numbers are associated (as any child who grew up with 70s television show 'Magpie' will attest) with the number of magpies seen. A solitary magpie is an omen of sorrow, two foretell joy and so on. It is thought that one magpie seen is a male (hence 'captain') and if seen on his own it is a sign of sorrow. If there are two, then 'Captain Magpie' has a wife, and thus the greeting to supposed wife and children.
A slightly more sinister version was recorded in M. A. Denham's Proverbs and Popular Saying of the Seasons, published in 1846, which had the rhyme this way:
One for sorrow,Two for joyThree for a wedding,Four for deathFive for silver,Six for gold,Seven for a secret,Not to be told,Eight for heaven,Nine for hellAnd ten for the devil's own sell!
Perhaps this resonates more easily with the traditional fear and suspicion aroused by the crow family.