Weyl semimetals are a new class of Dirac material that possesses bulk energy nodes in three dimensions, in contrast to two dimensional graphene. In this paper, we study a Weyl semimetal subject to an applied magnetic field. We find distinct behavior that can be used to identify materials containing three dimensional Dirac fermions. We derive expressions for the density of states, electronic specific heat, and the magnetization. We focus our attention on the quantum oscillations in the magnetization. We find phase shifts in the quantum oscillations that distinguish the Weyl semimetal from conventional three dimensional Schrodinger fermions, as well as from two dimensional Dirac fermions. The density of states as a function of energy displays a sawtooth pattern which has its origin in the dispersion of the three dimensional Landau levels. At the same time, the spacing in energy of the sawtooth spike goes like the square root of the applied magnetic field which reflects the Dirac nature of the fermions. These features are reflected in the specific heat and magnetization. Finally, we apply a simple model for disorder and show that this tends to damp out the magnetic oscillations in the magnetization at small fields.