A self-consistent spectral density approach (SDA) is applied to the Hubbard model to investigate the possibility of spontaneous ferro-and antiferromagnetism. Starting point is a two-pole ansatz for the single-electron spectral density, the free parameter of which can be interpreted as energies and spectral weights of respective quasiparticle excitations. They are determined by fitting exactly calculated spectral moments. The resulting self-energy consists of a local and a non-local part. The higher correlation functions entering the spin-dependent local part can be expressed as functionals of the single-electron spectral density. Under certain conditions for the decisive model parameters (Coulomb interaction U , Bloch-bandwidth W , band occupation n, temperature T ) the local part of the self-energy gives rise to a spin-dependent band shift, thus allowing for spontaneous band magnetism. As a function of temperature, second order phase transitions are found away from half filling, but close to half filling the system exhibits a tendency towards first order transitions. The non-local self-energy part is determined by use of proper two-particle spectral densities. Its main influence concerns a (possibly spin-dependent) narrowing of the quasiparticle bands with the tendency to stabilize magnetic solutions. The non-local self-energy part disappears in the limit of infinite dimensions. We present a full evaluation of the Hubbard model in terms of quasiparticle densities of states, quasiparticle dispersions, magnetic phase diagram, critical temperatures (TC , TN ) as well as spin and particle correlation functions. Special attention is focused on the non-locality of the electronic self-energy, for which some rigorous limiting cases are worked out.