It is not an insult. It means “tough guy”. Usually a guy from the working class/lower class, with special appearance, speech and behavior.
Depending on the context it may also mean successful or very competent:
Ο Γιάννης βγήκε πρώτος στο Μαραθώνιο. Αν είσαι μάγκας, κάν' το κι εσύ. = Giannis ended first place in the Marathon run. If you have the guts, go ahead and do it too.
"Μάγκας" is a slang word in Modern Greek. It probably originates from the Turkish word "manga" (small army unit).