We present a number of experimental results on the temperature dependence of the magnetic penetration depth λ and on the temperature and field dependence of the microwave surface impedance Z _s =R _s +iX _s in both pellets and thin films of MgB₂ , exhibiting critical temperatures ranging between 26 and 38 K. Accurate measurements of Z _s (H,T) were performed by means of a sapphire dielectrically loaded cavity operating in the microwave region (20 GHz). The study of λ(T) was carried out employing a single coil mutual inductance technique in the MHz region. An anisotropic s-wave BCS model can account for the temperature dependence experimentally observed in the penetration depth data of the best films, confirming previous reports on the conventional nature of superconductivity in diborides. On the contrary, films having a reduced value of the critical temperature and pellets show no evidence of saturation, and the experimental results strictly follow a quadratic dependence down to the lowest temperatures. We explain this behavior with the presence of metallic Mg inclusions that may locally depress the gap. The study of the surface impedance versus temperature and field shows also that the source of microwave loss can be markedly different, depending on the structural and transport properties of the samples.